LautaroParada / variance-testLinks
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
Sorting:
- a Python tool for downloading sharadar data from Quandl.☆10Updated 2 years ago
- ☆40Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆32Updated last year
- Implements different approaches to tactical and strategic asset allocation☆34Updated 5 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- detecting regime of financial market☆36Updated 2 years ago
- Hedge long only portfolio using structural entropy☆15Updated 2 years ago
- ☆41Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- ☆22Updated 2 years ago
- ☆18Updated 8 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Efficient and easy to use fractional differentiation transformations for stationarizing time series data in Python.☆21Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- ☆24Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Research Repo (Archive)☆73Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- ☆49Updated 4 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago