A collection of scripts for modelling financial markets and options in R.

1. Straddle Analysis - Looking at 30 DTE ATM straddles implied vs close to close historical volatility

2. SP500 Sector Direction Analysis - Looking at forecasting market direction using ATM call/put IV differential

3. Volatility Estimation Forecasting - Historical volatility estimation methods from Euan Sinclair's "Volatility Trading" book as well as some GARCH models

4. Heston Stochastic Vol - Heston stochastic volatility model from NMOF package by Enrico Schumann, for further experimentation

5. Bayesian Hurst - Estimate the Hurst exponent using MCMC for different time periods

6. Rolling Volatility Estimation - Comparing close-close with volatility estimation models on different rolling time windows

7. Clenow Momentum - Andreas Clenow's Momentum ranking methodology from the book "Stocks on the Move"

8. TQQQ Timing - Using machine learning with technical indicators to time going long TQQQ