In this project our aim is to explore and analyse financial instruments (stocks and options in particular) and to develop profitable trading strategies. To that end, we focused on the relation between price time series and factors such as market volatility, interest rates, and various economic indicators.
We started this as a learning tool. As developers, we advocate a hands on approach, we like trying out ideas and tinkering with models. If that sounds at all interesting, you can follow our progress which will be documented in Jupyter notebooks here.
UPDATE
As of 2019-05-08, this repo will host our explorations in finance and economics, mainly in the form of notebooks. The backtester and data scraper components will be moved to a different one soon.
Collaboration is welcome: by all means, if you spot a mistake or just want to add an interesting notebook you've been playing with, please submit a pull request.
- Python >= 3.5
- pipenv
If you want to view the notebooks locally, simply install the dependencies with:
$ pipenv --three && pipenv installThen start Jupyter Lab
$ cd notebooks && jupyter labFor complete novices in finance and economics, this post gives a comprehensive introduction.
- Option Volatility and Pricing 2nd Ed. - Natemberg, 2014
- Options, Futures, and Other Derivatives 10th Ed. - Hull 2017
- Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits 2nd Ed. - Passarelli 2012
- Trading Volatility - Bennet 2014
- Volatility Trading 2nd Ed. - Sinclair 2013
- Dynamic Hedging - Taleb 1997
- The Volatility Surface: A Practitioner's Guide - Gatheral 2006
- The Volatility Smile - Derman & Miller 2016
- Volatility: A New Return Driver?
- Easy Volatility Investing
- Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers
- Volatility-of-Volatility Risk
- The Distribution of Returns
- Safe Haven Investing Part I - Not all risk mitigation is created equal
- Safe Haven Investing Part II - Not all risk is created equal
- Safe Haven Investing Part III - Those wonderful tenbaggers
- Insurance makes wealth grow faster
- Ergodicity economics
- The Rate of Return on Everything, 1870–2015
- Volatility and the Alchemy of Risk