Sparse factor models with sign-constrained, grouped and cooperative LASSO penalties (HCGL, FCGL, SGL) via CVXPY - scikit-learn compatible
☆22Aug 4, 2026Updated this week
Alternatives and similar repositories for factorlasso
Users that are interested in factorlasso are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python functionality for getting different data from Bloomberg: prices, implied volatilities, fundamentals☆17Updated this week
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆84Updated this week
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14May 13, 2024Updated 2 years ago
- Code for the paper "How to use the Sharpe ratio"☆103Feb 5, 2026Updated 6 months ago
- This repository contains accompanying code for the CFA Institute's Research and Policy Center 'Synthetic Data in Investment Management' r…☆17Jul 28, 2025Updated last year
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆16Aug 25, 2025Updated 11 months ago
- Sharpe ratio☆22Updated this week
- ☆72Jul 13, 2026Updated 3 weeks ago
- Portfolio risk management via convex optimization — interchangeable risk models behind one abstract interface, solved directly with Clara…☆30Updated this week
- Python implementation of ARFIMA process with an aim to simulate series.☆22May 17, 2021Updated 5 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 11 months ago
- Markowitz portfolio construction on CVXPY — DPP-compliant builders that solve long sequences of related problems without recompiling as a…☆36Updated this week
- Piecewise quadratic approximation to the Black-Scholes value of a straddle vs. stock price☆15Jan 15, 2026Updated 6 months ago
- Research repo for reinforcement learning–based deep hedging of SPX & SPY options☆21Dec 8, 2025Updated 7 months ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆230Jul 27, 2026Updated last week
- Julia package providing access to the Fama-French data available on the Ken French Data Library☆11Oct 26, 2025Updated 9 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆18Feb 1, 2020Updated 6 years ago
- Fix any failing command with ChatGPT☆12May 8, 2023Updated 3 years ago
- This repo is for my articles published on Medium.com☆16Mar 8, 2023Updated 3 years ago
- A collection of utilities written in Modern Fortran☆10Sep 15, 2024Updated last year
- Conway's Game of Life written in Fortran 77 for FreeDOS☆11Oct 8, 2021Updated 4 years ago
- Options pricing, Greeks, strategy P&L, volatility surfaces, and scenario analysis.☆14Mar 29, 2025Updated last year
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 7 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Fortran routines for manipulating ASCII characters (future pull request to fortran-lang/stdlib https://github.com/fortran-lang/stdlib)☆13Jan 26, 2024Updated 2 years ago
- A Fortran BLAS library implemented as a free-format module.☆12Jul 11, 2025Updated last year
- The ancestral computer game, circa 1976.☆14Jun 8, 2022Updated 4 years ago
- ☆53Oct 24, 2023Updated 2 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆37Jul 13, 2026Updated 3 weeks ago
- Realized Volatility Forecasting modeling☆20May 5, 2017Updated 9 years ago
- ☆18Feb 17, 2026Updated 5 months ago
- Modern Fortran implementation of `quadprog`☆13Apr 3, 2026Updated 4 months ago
- FAR++ implements Fortran-like arrays in C++☆15Jun 14, 2025Updated last year
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- The Laboratory of Algorithms☆14Jul 9, 2018Updated 8 years ago
- Personal notes about Fortran programming language☆13Jun 3, 2021Updated 5 years ago
- This code is for the book☆448Mar 13, 2025Updated last year
- ☆10Jul 7, 2026Updated 3 weeks ago
- man-page style descriptions of Fortran intrinsics for use as a reference for developers and tutorials☆23Updated this week
- R Finance packages not listed in the Empirical Finance Task View☆13Updated this week
- Code for reproducing results from the paper "Unified Long Horizon Time Series Benchmark"☆18Jul 9, 2026Updated 3 weeks ago