{"repo":"NavnoorBawa/Volatility-Surface-Anomaly-Detection-Trading-System","free":true,"listed":false,"github":"https://github.com/NavnoorBawa/Volatility-Surface-Anomaly-Detection-Trading-System","clone":"git clone https://github.com/NavnoorBawa/Volatility-Surface-Anomaly-Detection-Trading-System.git","description":"Volatility-surface construction and anomaly detection with autoencoders and regime features.","language":"Jupyter Notebook","stars":29,"topics":["anomaly-detection","jupyter-notebook","options","quantitative-finance","volatility-surface"],"license":"MIT","category":"trading","readme_excerpt":"Volatility Surface Anomaly Detection & Trading System Technical Architecture Core Components - Data Pipeline : yfinance API for options chain retrieval (15-120 DTE configurable) - Volatility Surface Construction : Black-Scholes with dividend adjustment (5.00%), surface smoothing via SciPy - Anomaly Detection : Convolutional autoencoder trained on simulated surfaces with varying skew/smile parameters - Market Regime Classification : Four-state model (low volatility, normal, high volatility, crisis) based on VIX percentile, term structure slope, and skew steepness - Strategy Generator : Rules-based recommendations linked to detected anomaly location and market regime ML Implementation - Tensorflow/Keras implementation - Reconstruction error threshold: 0.0000 (configurable) - Model architecture: 3 convolutional layers (encoder), 3 transposed convolutional layers (decoder) - Loss function: MSE with L1 regularization - Training data: 10,000+ synthetic surfaces with parametric variations Anomaly Quantification - Anomaly score calculation: normalized reconstruction error - Localization via gradient-based saliency mapping - Moneyness/maturity coordinates with maximum deviation identified programmatically - Magnitude measured as volatility point difference from expected surface Visualization Modules - Heatmap representation with anomaly highlighting - 3D surface with interactive rotation (Plotly) - Term structure across moneyness levels - Skew visualization across maturities - Strateg","default_branch":null,"files":null,"tree":[],"storefront":"/r/NavnoorBawa","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/NavnoorBawa/Volatility-Surface-Anomaly-Detection-Trading-System/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}