{"repo":"aidinattar/Volatility-carry-trading-strategy","free":true,"listed":false,"github":"https://github.com/aidinattar/Volatility-carry-trading-strategy","clone":"git clone https://github.com/aidinattar/Volatility-carry-trading-strategy.git","description":"Modelling the implicit volatility, using multi-factor statistical models.","language":"Python","stars":25,"topics":["trading","finance","stock-market","volatility","vix","heston-model","black-scholes"],"license":"Apache-2.0","category":"trading","readme_excerpt":"Volatility carry trading strategy Modelling the implicit volatility, using multi-factor statistical models. Laboratory of Computational Physics course A.Y. 2021/2022. Project by Aidin Attar, Bahador Amjadi, Ema Baci and Melika Keshavarzmirzamohammadi Prof. Marco Zanetti XSOR Capital LTD - Stefano Soricetti - Alessio Pieri Introduction What is Volatility? Volatility is one of the standard measures of risk in financial markets. From a statistical point of view, volatility is the annualized standard deviation of the yield of an underlying asset. There are two main types of volatility we can think of: - Realized volatility : realized volatility is computed on the historical yields of the underlying. For instance, it may be computed on the past yields of an index. - Implied volatility : implied volatility is estimated from the prices of options on the underlying, and it represents the expectations of the market on the volatility of the underlying from now until the expiry. From a market point of view, the implied volatility is more interesting, as it provides some kind of information on the future evolution of the actual volatility. What is VIX and the structure of futures on VIX VIX (which stands for Volatility Index) is the most popular and liquid volatility index on the market. It represents the expectation of the market on the volatility at 30 days of the S&P 500 index, as derived by looking at its options, as outlined above. Since the volatility is at 30 days, this has so call","default_branch":null,"files":null,"tree":[],"storefront":"/r/aidinattar","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/aidinattar/Volatility-carry-trading-strategy/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."}