Metadata-Version: 2.1
Name: spd-trading
Version: 0.1.1
Summary: Estimates the Risk Neutral Density and Historical Density of an underlying and suggests trading intervals based on the Pricing Kernel.
Home-page: https://github.com/franwe/spd_trading
Author: franwe
Author-email: franziska.wehrmann@gmail.com
License: MIT
Project-URL: Documentation, https://spd_trading.readthedocs.io/en/latest/
Project-URL: Code, https://github.com/franwe/spd_trading
Description: # spd_trading
        
        This package estimates the Risk Neutral Density (RND) and Historical Density (HD) of an underlying and suggests a trading 
        strategy based on the Pricing Kernel:
        
        <a href="https://www.codecogs.com/eqnedit.php?latex=K=\frac{RND}{HD}" target="_blank"><img src="https://latex.codecogs.com/svg.latex?K=\frac{RND}{HD}" title="K=\frac{RND}{HD}" /></a>
        
        
        The **RND** is estimated by *Rookley's Method*, which uses the option table of one trading day. ``risk_neutral_density.Calculator.get_rnd``
        
        The **HD** is estimated by a *GARCH(1,1) Model*, which uses a timeseries of the underlying. ``historical_density.Calculator.get_hd``
        
        The package is part of a Master Thesis, which will be published after grading [1]_. The thesis explains the theoretical background 
        in more detail and gives more references. Furthermore an actual trading strategy was implemented and backtested on real data 
        (BTC options March-September 2019). 
        
        The concious desicion of *not* implementing the actual strategy in the package is due to the high responsibility that would come 
        with publishing such a risky tool. However, the construction of strategies based on the kernels are explained and analyized in the 
        thesis as well. 
        
        ## Installation
        
        Via pip
        ```
            pip install spd_trading
        ```
        
        Or via download from git:
        
        ```
            pip install git+https://github.com/franwe/spd-trading#egg=spd-trading
        ```
        
        Note that in order to avoid potential conflicts with other packages it is strongly recommended to use a virtual environment (venv) or a conda environment.
        
        ![See image in README.md in GitHub repo.](https://github.com/franwe/spd_trading/blob/main/docs/_static/example_kernel.png?raw=true)
Platform: UNKNOWN
Requires-Python: >=3
Description-Content-Type: text/markdown
