BryceMeng / mlfinlab
Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning
☆33Updated 4 years ago
Alternatives and similar repositories for mlfinlab:
Users that are interested in mlfinlab are comparing it to the libraries listed below
- ☆21Updated 4 years ago
- A financial trading method using machine learning.☆58Updated last year
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆54Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Backtest result archive for Momentum Trading Strategies☆49Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆19Updated last month
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Time Series Prediction of Volume in LOB☆56Updated 9 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆56Updated 11 months ago
- ☆21Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 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 9 months ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆66Updated 3 months ago
- ☆28Updated 7 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆39Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 9 months ago
- By means of stochastic volatility models☆43Updated 4 years ago
- ☆35Updated last year
- AI based alpha research for trading☆46Updated 2 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆27Updated 10 months ago
- ☆24Updated 6 years ago