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:
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆93Updated 2 years ago
- ☆73Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- How to detect stock market crashes with topology.☆82Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Stock and Forex market prediction using ML and time-series modelling☆38Updated 6 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 4 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆66Updated last month
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆114Updated 4 years ago
- ☆27Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆120Updated 4 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- 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
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Master repository for the pandas-ml modules☆163Updated last year
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆166Updated 5 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
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Deep Reinforcement Learning For Trading☆106Updated last year
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆84Updated 2 weeks ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeli…☆152Updated 10 months ago
- Hedging portfolios with reinforcement learning.☆35Updated 7 years ago