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:
- ☆73Updated 3 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆94Updated 2 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆121Updated 4 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- ☆27Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Stock and Forex market prediction using ML and time-series modelling☆38Updated 6 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- ☆40Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- This git repository is based on the work of J.Heaton, N.Polson and J.Witte and their articleDeep Learning for Finance: Deep Portfolios. …☆47Updated 7 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 4 years ago
- ☆214Updated 7 years ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated 7 months ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 4 years ago
- How to detect stock market crashes with topology.☆82Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆117Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆88Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 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
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆169Updated 5 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆94Updated 3 years ago
- Notebooks based on financial machine learning.☆52Updated 5 years ago
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- Deep Reinforcement Learning For Trading☆106Updated last year