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  1. seasonal-anomalies seasonal-anomalies Public

    Are the Halloween and turn of month effects are tradable? November to April beats May to October by 0.81% per month, but neither strategy beats buy-and-hold on Sharpe, 0.377 against 0.376. The only…

    Python

  2. autocallable-local-vol autocallable-local-vol Public

    Calibrating the coupon strike of a 2-year multi-asset autocallable note on the Nikkei 225, the S&P 500 and the Hang Seng, priced by Monte Carlo under a local volatility surface.

    Python

  3. Day_Count_Conventions Day_Count_Conventions Public

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  4. swarm-velocity swarm-velocity Public

    Does swarm velocity carry tradable information? We backtest the leader-following estimator of Chen, Huang and Tang (2025) is applied to US Sector ETFs.

    Python

  5. bank-vol-knowledge-graph bank-vol-knowledge-graph Public

    We applied the knowledge graph framework of Chen and Zhang (2024) to US-listed banks across the COVID-19 episode.

    Python

  6. technical-analysis-backtest technical-analysis-backtest Public

    We backtest 4 technical trading rules: EMA and MACD crossovers, an RSI, VWAP and ADX confirmation filter, and a double Bollinger range reversion.

    Jupyter Notebook