LautaroParada / variance-test
Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street
☆13Updated 2 years ago
Alternatives and similar repositories for variance-test:
Users that are interested in variance-test are comparing it to the libraries listed below
- The goal of the project is to build algorithmic trading system.☆26Updated 4 years ago
- a Python tool for downloading sharadar data from Quandl.☆10Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 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
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Hedge long only portfolio using structural entropy☆15Updated 2 years ago
- ☆37Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Tr8dr's Musing on Algo Trading, Machine Learning, and the Markets☆13Updated 5 months ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆20Updated 3 months ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- ☆49Updated 4 years ago
- ☆40Updated 4 years ago
- detecting regime of financial market☆36Updated 2 years ago
- ☆17Updated 2 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- ☆24Updated 6 years ago
- We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Pe…☆55Updated 2 years ago
- ☆21Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 4 months ago
- Regime-Switching Model☆17Updated 7 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆53Updated 6 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- Implementations of extended PCA methods, such as IPCA and EWMPCA☆15Updated 3 years ago