Dekalog / Data-Snooping-Tests
Code for various data snooping tests on financial time series.
☆18Updated 9 years ago
Related projects ⓘ
Alternatives and complementary repositories for Data-Snooping-Tests
- Regime-Switching Model☆17Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆43Updated 7 years ago
- ☆16Updated 3 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆65Updated 7 years ago
- Notebooks and stuff from quantfiction.com☆36Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- ☆24Updated 6 years ago
- HAR-RV Model For Realized Volatility☆27Updated 8 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆45Updated 8 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 4 years ago
- ☆26Updated 5 years ago
- finance☆43Updated 7 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆21Updated 7 years ago
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆50Updated 10 months ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22Updated 10 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆46Updated last year
- A framework for historical volatility estimation and analysis.☆34Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 7 months ago
- Various python scripts to introduce mean reversion concepts.☆21Updated 6 years ago
- ☆25Updated 6 years ago
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆24Updated 3 years ago
- Python implementation of a sample covariance matrix shrinkage experiment☆31Updated 10 years ago