Alternatives and similar repositories for Graphical-Lasso-in-Finance

Users that are interested in Graphical-Lasso-in-Finance are comparing it to the libraries listed below

• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 5 years ago
• ajtulloch / IntensityCreditModels
  Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.
  ☆21Updated 11 years ago
• druce / Machine-learning-for-financial-market-prediction
  Machine Learning for Financial Market Prediction
  ☆59Updated 6 years ago
• RJT1990 / Active-Portfolio-Management-Notes
  Notes for Active Portfolio Management, by Grinold and Kahn
  ☆47Updated 9 years ago
• 0zean / MARS-Time-Series
  Multivariate Adaptive Regression Splines for Time Series Prediction
  ☆18Updated 2 years ago
• wolfws / keras-tensorflow-financial-time-series-signal-forecast
  Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM
  ☆47Updated 8 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• Jianeng / Deep-Learning-in-Asset-Pricing
  https://arxiv.org/abs/1805.01104
  ☆118Updated 4 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆70Updated 6 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• BlackArbsCEO / Mixture_Models
  Jupyter (IPython) notebooks for exploring mixture models
  ☆37Updated 8 years ago
• stochasticresearch / copula-py
  Python Copula Module
  ☆43Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆25Updated 8 years ago
• ChadFulton / pymar
  Markov Switching Models for Statsmodels
  ☆24Updated 9 years ago
• pjgranahan / qfrm
  Python tools to quantitatively manage financial risk
  ☆69Updated 5 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆36Updated 6 years ago
• yhilpisch / pydlon15
  Open Source Tools for Financial Time Series Analysis and Visualization
  ☆69Updated 10 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆65Updated 3 years ago
• vsmolyakov / fin
  finance
  ☆43Updated 8 years ago
• mrbcuda / pbo
  Probability of Backtest Overfitting
  ☆48Updated 3 years ago
• ChadFulton / fulton_statsmodels_2017
  State Space Estimation of Time Series Models in Python: Statsmodels
  ☆44Updated 8 years ago
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆22Updated 10 years ago
• ailzy / RISKIM
  Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction
  ☆30Updated 8 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆32Updated 4 months ago
• joergrieger / pybvar
  Bayesian Vector Autoregression in Python
  ☆28Updated 6 years ago
• euclidjda / deep-quant
  Deep learning for forecasting company fundamental data
  ☆141Updated 6 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆31Updated 9 years ago
• dppalomar / riskParityPortfolio
  Design of Risk Parity Portfolios
  ☆116Updated 2 years ago