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• Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot and options prices data from CBOE and Yahoo Finance • Utilized NumPy, Pandas, and SciPy packages to calculate implied volatility, realized volatility, and risk premiums to measure how the market prices risk • Gathered and plotted daily VIX futures data with Selenium, Seaborn and Matplotlib to study volatility term structure • Examined volatility clustering and built forecasting tools for market risk using correlations of daily absolute returns and volatility at different time lags
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Merge branch 'master' of https://github.com/linhnguyen215538/Volatility-Study
c2c7c79View on GitHubRename CBOE VIX.ipynb to Data Pull - CBOE VIX.ipynb
79c43e1View on GitHub