LautaroParada / variance-test
Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street
☆13Updated last year
Related projects ⓘ
Alternatives and complementary repositories for variance-test
- ☆13Updated last year
- a Python tool for downloading sharadar data from Quandl.☆10Updated last year
- The goal of the project is to build algorithmic trading system.☆26Updated 4 years ago
- detecting regime of financial market☆30Updated 2 years ago
- This repo is for my articles published on Medium.com☆15Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Machine learning for portfolio management and trading with scikit-learn☆14Updated this week
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆74Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆50Updated 9 months ago
- Efficient and easy to use fractional differentiation transformations for stationarizing time series data in Python.☆18Updated last year
- ☆31Updated last year
- We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Pe…☆51Updated 2 years ago
- A financial trading method using machine learning.☆58Updated last year
- Various python scripts to introduce mean reversion concepts.☆21Updated 6 years ago
- ☆36Updated 3 years ago
- Contains all the Jupyter Notebooks used in our research☆14Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆20Updated last year
- ☆12Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆24Updated last year
- Hedge long only portfolio using structural entropy☆15Updated 2 years ago
- Notebooks based on financial machine learning.☆46Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆51Updated 7 months ago
- ☆17Updated 4 years ago
- Mean Reversion Trading Strategy☆20Updated 3 years ago
- Backtested trading strategy based on modelling stock returns based on Auto Regressive Integrated Moving Average model☆0Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- ☆58Updated this week
- Research Repo (Archive)☆69Updated 4 years ago
- ☆23Updated 6 years ago