Gustrigos / Eigen-PortfolioLinks
Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks to construct an optimized diversified intelligent portfolio.
☆73Updated 5 years ago
Alternatives and similar repositories for Eigen-Portfolio
Users that are interested in Eigen-Portfolio are comparing it to the libraries listed below
Sorting:
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- ☆73Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆119Updated 4 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 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
- How to detect stock market crashes with topology.☆82Updated 4 years ago
- ☆41Updated 4 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆126Updated 4 years ago
- Developing a long/short equity investment portfolio with Machine Learning predictions using data acquired from web-scraping. Flatiron Mod…☆39Updated 4 years ago
- Generate various Alternative Bars both historically and at real-time.☆35Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆164Updated 5 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆62Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 4 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆66Updated 3 weeks ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Python for Portfolio Optimization: The Ascent! First working lessons to ascend the hilly terrain of Portfolio Optimization in seven strid…☆83Updated 5 years ago
- ☆24Updated 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