Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Euro. Jupyter notebooks for pricing options using free publicly available datasets.

Custom Neuron Decision-Making and Visual Workflow Orchestration Quantitative

Data for Finance

A template for building an advanced Automated High-Frequency Trading (HFT) system. Note: For educational purposes only; customize before deploying in live markets.

This repository contains a comprehensive analysis of time series data (stock prices), forecasted using various statistical and deep learning models.

Data Science project for forecasting steel and crude oil prices

This is a course project predicting the price of Bitcoin and some analysis of its variation.

Machine Learning & Python in Finance

ARCH and GARCH models along with MLOps pipeline using AWS platform to deploy model in a production environment.

ARMA-GARCH

Developed a forecasting model Hybrid GARCH-ANN By employing Grid Search for NYSE Stock

Test various time-series Models to predict future movements in the value of the Japanese yen versus the U.S. dollar.

Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."

Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"

For this project, I used Bitcoin's daily closing market price dataset from Jan 2012 to March 2021 Kaggle. This work's main objective includes explaining how to analyze a time series and forecast its values using ARIMA and GARCH models.

SP500 index statistical analysis and modeling

Predicts future movements in the value of the Canadian dollar versus the Japanese yen using Time Series Modelling and Regression Analysis.

Code for value-at-risk calculation and backtesting.

Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT

Explore TESLA stock price (time-series) using ARIMA & GARCH model.