BaptisteZloch / Quant-Invest-Lab
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.
☆24Updated 9 months ago
Related projects ⓘ
Alternatives and complementary repositories for Quant-Invest-Lab
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last week
- This repo is for my articles published on Medium.com☆15Updated last year
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆25Updated 6 months 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…☆60Updated 3 months ago
- ☆23Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month
- Source code for Multicriteria Portfolio Construction with Python☆28Updated 3 years ago
- ☆49Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆50Updated 10 months ago
- ☆31Updated last year
- ☆26Updated 2 months ago
- By means of stochastic volatility models☆41Updated 4 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 6 months ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Script for Calculating Implied Probability Distribution from Option Prices - The Quant's Playbook @ Quant Galore☆28Updated 10 months ago
- ☆37Updated 3 years ago
- A financial trading method using machine learning.☆58Updated last year
- Algorithmic multi-greek hedges using Python☆18Updated 3 years ago
- my talk for credit suisse☆36Updated this week
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆52Updated 3 months ago
- ML pipeline for SmartBeta momentum factor on equity portfolio☆12Updated 8 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆46Updated last year
- This collects the scripts and notebooks required to reproduce my published work.☆43Updated this week
- Predictive yield curve modeling in reduced dimensionality☆39Updated last year
- Quant Research☆66Updated this week
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 6 months ago