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2017.m1.asp

2017-18 Module 1, Applied Stochastic Processes

abe-sinjiro

catalyst

An Algorithmic Trading Library for Crypto-Assets in Python

corporate_finance_valuation

Simple corporate finance concepts like DCF, IRR, NPV, WACC, Debt, Unlevered Equity, Forward Contract Valuation.

crowdsale-whitelist

crypto_stat_arb

Applying the concept of statistical arbitrage to the crypto-currency market by discovering significant arbitrages between exchanges

eigenlayer

friktion-user-analytics

User research dashboard to examine number of unique users, average transaction size & withdrawal size

morpheus

Morpheus - A Network For Powering Smart Agents - Compute + Code + Capital + Community

options_sabr_model

This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Displaced-diffusion model 5. SABR model

portfolio-optimization

A plot a minimum-variance frontier of 10 industry portfolios with tangency portfolio & the weights of the tangency portfolio determined.

portfoliomgt

This is the python code for QF623 Portfolio Management Project.

qq-optiver

Opriver's Quant Quest

sentiment-bitcoin

Our project seeks to validate the correlations between Google search trends and Twitter sentiments with Bitcoin prices using recent data from 2017 and 2018. We are also interested to discover if these alternative data are predictive causes and whether they would be able to effective forecast the value of Bitcoin. This research also seeks to expand beyond social media and web traffic data to include transaction data such as the daily usage of Bitcoin addresses.

stat_arb_etf

An example of statistical arbitrage of ETFs using Augmented Dickey-Fuller test & Kalman Filter.

sui

Sui, a next-generation smart contract platform with high throughput, low latency, and an asset-oriented programming model powered by the Move programming language

trading_cost

Simple transaction cost model calibrated with fintech proprietary broker data set.

value-at-risk-comparison-study

A short comparison among the different Value-at-Risk methods, namely Parametric VaR, Parametric EWMA VaR, Historical Simulation and Filtered Historical Simulation.