Mircea-MMXXI / azapy
Financial Portfolio Optimization Algorithms
☆52Updated 2 months ago
Related projects: ⓘ
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated last year
- 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…☆59Updated last month
- ☆34Updated 3 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆30Updated 2 weeks ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆33Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆44Updated 8 months ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated last year
- Time Series Prediction of Volume in LOB☆52Updated 5 months ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆35Updated 6 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆48Updated 2 years ago
- ☆51Updated this week
- ☆48Updated last year
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 4 months ago
- Tools for investing in Python☆41Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆109Updated 8 months ago
- This collects the scripts and notebooks required to reproduce my published work.☆43Updated this week
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆43Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆28Updated 3 weeks ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 2 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆25Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆73Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 7 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆33Updated 3 years ago
- my talk for credit suisse☆35Updated last week
- ☆32Updated last year