BlackArbsCEO / synthetic_time_series
☆27Updated 6 years ago
Alternatives and similar repositories for synthetic_time_series:
Users that are interested in synthetic_time_series are comparing it to the libraries listed below
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 7 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 4 years ago
- ☆12Updated last year
- ☆35Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- ☆45Updated 7 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- ☆24Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- Unsupervised Learning to Market Behavior Forecasting Example☆41Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- finance☆43Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Demo for the application of RL to non-stationary effects☆45Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- ☆72Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- A Python toolkit for high-frequency trade research.☆41Updated 6 years ago
- Repo for code used to perform research for the WorldQuant University MScFE Capstone project on "Application of algorithmic trading strate…☆22Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 8 years ago
- ☆10Updated 7 years ago