GitHub / ArturSepp 3 Repositories
PhD in Statistics with expertise in systematic strategies, quantitative investing, volatility models, data science with Statistical and Machine Learning methods
ArturSepp/BloombergFetch
Pythin functionality for getting different data from Bloomberg: prices, implied vols, fundamentals
Language: Python - Size: 92.8 KB - Last synced at: 5 days ago - Pushed at: 5 days ago - Stars: 10 - Forks: 5
ArturSepp/QuantInvestStrats
Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, analysis of quantitative strategies.
Language: Jupyter Notebook - Size: 140 MB - Last synced at: 5 days ago - Pushed at: 5 days ago - Stars: 388 - Forks: 44
ArturSepp/StochVolModels
Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Language: Python - Size: 10.2 MB - Last synced at: 7 days ago - Pushed at: 7 days ago - Stars: 167 - Forks: 35
ArturSepp/OptimalPortfolios
Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python
Language: Python - Size: 38 MB - Last synced at: 11 days ago - Pushed at: 12 days ago - Stars: 52 - Forks: 20
ArturSepp/VanillaOptionPricers
Fast and vectorised pricer and implied volatility fitters for Black-Scholes and Merton models
Language: Python - Size: 29.3 KB - Last synced at: 10 days ago - Pushed at: 4 months ago - Stars: 6 - Forks: 4