Study on volatility transmission and protuberance among developed and developing stock markets using multivariate GARCH

Predicting Market Volatility

Algoritmos en R para las volatilidades propuestas en el Capitulo 9 del libro Paul Wilmott Introduces Quantitative Finance.

The goal of this research is to better understand the relationships between cryptocurrencies and stock indexes, including how cryptocurrencies are interconnected. Preliminary visualization revealed a trend of market movement across all cryptocurrencies, indicating a substantial correlation. Initial analysis focusses on finding the correlation be…

Implementing Bitcoin futures' strike prices and time-to-maturity to construct a volatility surface for potential profit opportunities. Utilizing time series and the GARCH model for volatility forecasting and Long Short-Term Memory (LSTM) for bitcoin futures' price forecasting in Python.

Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.

This repo is about forecasting the Yen movements in order to know whether to be long or short.

Stock Market Data - Correlations/Visualizations/Calculations

Python & Finance

Financial time series forecasting using R

R project for bachelor's thesis in "International Economics and Financial Markets"

In this repo you will find some tools related to pricing and risk measurement of options. You can find tools to calculate the price of an option like de Black-Scholes or Heston Model, or to get implied volatilities.

Portfolio Performance Analysis

Public repo of some of my options modeling projects

Model which predicts the volatility of a company's stock based on the shareholder meeting transcripts over the years for the Fortune 500 companies. This model is based on BERT and GPT-3 LLMs to summarize and predict the volatility.

Topological Tail Dependence: Evidence from Forecasting Realized Volatility

Java Spring Collaborative Project built by Erik van Erp, David Moore, & Coren Frankel

MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.