Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
☆64Jul 5, 2022Updated 4 years ago
Alternatives and similar repositories for pyRMT
Users that are interested in pyRMT are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Random Matrix Theory library - RMT analysis and simulation in Python☆62Oct 4, 2026Updated last week
- ☆72Jul 13, 2026Updated 2 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆24May 8, 2024Updated 2 years ago
- Python implementation of random-forest-based nonlinear dependence and correlation measures.☆15May 3, 2022Updated 4 years ago
- Python library for shrinkage cleaning of large correlation matrices.☆14Mar 7, 2024Updated 2 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- ☆13May 27, 2023Updated 3 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆136Oct 13, 2025Updated 11 months ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Feb 5, 2018Updated 8 years ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆10Nov 30, 2022Updated 3 years ago
- Implementing a first hurdle for expected returns☆19Oct 6, 2026Updated last week
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- ☆11Sep 6, 2023Updated 3 years ago
- ☆14May 8, 2023Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆27Dec 26, 2022Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆88Aug 21, 2018Updated 8 years ago
- ☆21Nov 4, 2022Updated 3 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- ☆12Apr 17, 2021Updated 5 years ago
- Deep Learning Statistical Arbitrage☆276Oct 5, 2022Updated 4 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- WIP☆37Jul 29, 2024Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Oct 16, 2022Updated 3 years ago
- Python repository with various projects in Machine Learning and Finance☆15Oct 4, 2026Updated last week
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆16Dec 11, 2020Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 4 years ago
- A Python package for PME (Public Market Equivalent) calculation☆14Jan 16, 2026Updated 8 months ago
- Heston implementation for Zynq with Vivado HLS☆16Jun 30, 2015Updated 11 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆22Updated this week
- ☆14Apr 1, 2019Updated 7 years ago
- ☆13May 21, 2019Updated 7 years ago
- Financial Market Building Blocks☆13Feb 1, 2022Updated 4 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Mar 6, 2017Updated 9 years ago
- Fast and scalable construction of risk parity portfolios☆325Aug 31, 2026Updated last month
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Jul 7, 2021Updated 5 years ago
- Quant interview problems with answers.☆15Aug 16, 2018Updated 8 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- implementation of the two-factor quintic OU model☆14Mar 19, 2025Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago