KarelZe / tclfLinks
A scikit-learn compatible classifier to perform trade classification in Python.
☆19Updated this week
Alternatives and similar repositories for tclf
Users that are interested in tclf are comparing it to the libraries listed below
Sorting:
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- ☆68Updated 2 months ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- ☆12Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- my talk for credit suisse☆38Updated this week
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- ☆14Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Quant finance scripts☆16Updated 4 months ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- Hedge long only portfolio using structural entropy☆15Updated 3 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆49Updated 2 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 4 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 11 months ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago