examples

MeridianAlgo Examples

Comprehensive runnable examples covering every major module. Each file is self-contained and executable with pip install meridianalgo.

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Index

File	Topic	Key Concepts
01_getting_started.py	First steps	Market data, returns, correlation, basic risk
02_basic_usage.py	Core functionality	Portfolio optimization, VaR, stat arb, ML
03_advanced_trading_strategy.py	Strategy building	Mean reversion, backtesting, performance eval
04_comprehensive_examples.py	Feature showcase	Analytics, liquidity, microstructure, factors
05_quant_examples.py	Professional quant	HFT, execution algorithms, Fama-French, HMM
06_transaction_cost_optimization.py	Transaction costs	VWAP/TWAP/POV, market impact, rebalancing
07_derivatives_and_options.py	Derivatives	Black-Scholes, Greeks, implied vol, exotic options
08_credit_risk.py	Credit risk	Merton model, CDS, Z-spread, portfolio EL/UL
09_volatility_models.py	Volatility	GARCH, realized vol, HAR-RV, regimes
10_monte_carlo.py	Monte Carlo	GBM, Heston, jump-diffusion, CIR, option pricing
11_portfolio_insurance.py	CPPI / TIPP	Floor protection, multiplier sensitivity
12_benchmark_analytics.py	Attribution	Active share, information ratio, BHB attribution
13_scenario_analysis.py	Stress testing	Historical scenarios, reverse stress, correlation stress

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Running

python examples/01_getting_started.py
python examples/08_credit_risk.py
python examples/09_volatility_models.py
python examples/10_monte_carlo.py
python examples/11_portfolio_insurance.py
python examples/12_benchmark_analytics.py
python examples/13_scenario_analysis.py

Base installation covers all examples except those requiring optional extras:

pip install meridianalgo            # covers examples 01-08, 11-13
pip install meridianalgo[ml]        # examples 02, 04, 05 (LSTM, HMM)
pip install meridianalgo[volatility]# example 09 (GARCH MLE via arch)
pip install meridianalgo[all]       # everything

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Learning Path

Beginner — start here:

1. 01_getting_started.py — load data, calculate returns, basic stats
2. 02_basic_usage.py — portfolio optimization, VaR

Intermediate — build intuition: 3. 03_advanced_trading_strategy.py — strategy construction and backtesting 4. 07_derivatives_and_options.py — Black-Scholes, Greeks, implied vol 5. 08_credit_risk.py — Merton model, default probability, CDS

Advanced — institutional techniques: 6. 09_volatility_models.py — GARCH family, realized vol estimators, HAR-RV 7. 10_monte_carlo.py — GBM, Heston, jump-diffusion, CIR, option pricing 8. 11_portfolio_insurance.py — CPPI and TIPP floor protection 9. 12_benchmark_analytics.py — active share, information ratio, BHB attribution 10. 13_scenario_analysis.py — historical scenarios, reverse stress testing

Execution and microstructure: 11. 05_quant_examples.py — optimal execution, pairs trading, regime detection 12. 06_transaction_cost_optimization.py — market impact, tax-loss harvesting