Alternatives and similar repositories for pyRMT

Users that are interested in pyRMT are comparing it to the libraries listed below

• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆59Updated 3 years ago
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆58Updated 2 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• Bobbakov / orderGenerator
  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
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• Quiota / tensorflow
  ☆10Updated 8 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆44Updated 4 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆30Updated last year
• CamDavidsonPilon / Graphical-Lasso-in-Finance
  Implementations of the graphical lasso method to estimation of covariance matrices in finance.
  ☆36Updated 13 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• philipperemy / fractional-differentiation-time-series
  As described in Advances of Machine Learning by Marcos Prado.
  ☆121Updated 3 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated 2 years ago
• hongwai1920 / Implement-Option-Pricing-Model-using-Python
  Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…
  ☆31Updated 5 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆65Updated 3 years ago
• tschm / cs
  my talk for credit suisse
  ☆40Updated last week
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆62Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• philipperemy / lead-lag
  Estimation of the lead-lag parameter from non-synchronous data.
  ☆132Updated 7 months ago
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated last year
• FernandoDeMeer / Mitigating-Overfitting-Experiment
  Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"
  ☆37Updated 2 years ago
• mcindoe / regimedetection
  ☆33Updated 2 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆30Updated 2 years ago
• Bradleydi / Risk-Models
  Risk estimation algorithms
  ☆30Updated 7 years ago
• hellojinwoo / CA_GMVP
  Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'
  ☆22Updated 3 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆58Updated last year