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1. lseg-thematic-portfolio-optimization lseg-thematic-portfolio-optimization Public

   ERC portfolio optimization

   Python 1 1

2. energy-spreads-statarb energy-spreads-statarb Public

   Market-neutral statistical-arbitrage engine for energy futures (3:2:1 crack spread + Brent–WTI) on LSEG data — OU mean-reversion, z-score signals, Kalman dynamic hedge ratio, look-ahead-free cost-a…

   Python 1

3. vix-vol-carry vix-vol-carry Public

   Variance-risk-premium harvesting via the VIX-futures term-structure roll, with a crash filter — LSEG data, roll-aware, look-ahead-free backtest (Sharpe ~1.3, drawdown halved by the filter).

   Python 1

4. lseg-options-delta-vega-hedging-engine lseg-options-delta-vega-hedging-engine Public

   Research-grade Python engine for LSEG listed-options delta-hedging and delta-vega optimization. Black-Scholes IV reconstruction, historical backtesting, scipy SLSQP optimizer, optional IBKR Paper s…

   Python

5. lseg-cross-asset-hmm lseg-cross-asset-hmm Public

   A cross-asset regime-detection engine built on LSEG Workspace data and a Hidden Markov Model. It classifies market environments into **risk-on / transition / stress** regimes and backtests five tr…

   Python

6. multi-strategy-alpha-book multi-strategy-alpha-book Public

   Multi-strategy alpha book: risk-parity combination of decorrelated volatility & relative-value sleeves, with a walk-forward HMM regime risk-throttle (alpha-timing fails, risk-throttle wins). Look-a…

   Python 1