Dekalog / Data-Snooping-TestsLinks
Code for various data snooping tests on financial time series.
☆21Updated 10 years ago
Alternatives and similar repositories for Data-Snooping-Tests
Users that are interested in Data-Snooping-Tests are comparing it to the libraries listed below
Sorting:
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆22Updated 7 years ago
- HAR-RV Model For Realized Volatility☆30Updated 9 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆67Updated 7 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 9 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- finance☆43Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
- Regime-Switching Model☆18Updated 7 years ago
- ☆24Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆42Updated 3 years ago
- Python tools to quantitatively manage financial risk☆68Updated 5 years ago
- ☆35Updated 7 years ago
- Risk estimation algorithms☆30Updated 6 years ago
- Probability of Backtest Overfitting☆49Updated 3 years ago
- QuantInsti EPAT: Final Project on Statistical Arbitrage☆116Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- A python script to download daily futures market data from Interactive Brokers using IbPy☆29Updated 6 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- ☆5Updated 4 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago