BaptisteZloch / Quant-Invest-LabLinks
Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean trying to build your own set of investments solution.
☆28Updated last year
Alternatives and similar repositories for Quant-Invest-Lab
Users that are interested in Quant-Invest-Lab are comparing it to the libraries listed below
Sorting:
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Portfolio optimization with cvxopt☆40Updated 7 months ago
- ☆42Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆48Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 5 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆97Updated 8 months ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆89Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 11 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- ☆23Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 2 months ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last week
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- ☆41Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- my talk for credit suisse☆39Updated this week
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆36Updated last year