Mottl / hurstLinks
Hurst exponent evaluation and R/S-analysis in Python
☆330Updated last year
Alternatives and similar repositories for hurst
Users that are interested in hurst are comparing it to the libraries listed below
Sorting:
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 2 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆129Updated 4 years ago
- Fast and scalable construction of risk parity portfolios☆312Updated 2 weeks ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆245Updated last year
- trend / momentum and other patterns in financial timeseries☆276Updated 4 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆258Updated 2 years ago
- Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial…☆324Updated last year
- To classify trades into buyer- and seller-initiated.☆152Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆172Updated 3 years ago
- ☆204Updated 2 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆217Updated 4 years ago
- ☆195Updated 5 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆86Updated 3 months ago
- ☆63Updated last year
- ☆357Updated last year
- Notebooks based on financial machine learning.☆52Updated 5 years ago
- Scikit-learn style cross-validation classes for time series data☆283Updated 3 years ago
- Library for fitting the LPPLS model to data.☆425Updated 10 months ago
- An open source library for portfolio optimisation☆364Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Deep Learning Statistical Arbitrage☆241Updated 3 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆82Updated last year
- Quantitative finance research tools in Python☆438Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Compute VIX and related volatility indices☆108Updated 10 months ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆170Updated last month
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆140Updated 10 months ago
- Estimation of the lead-lag parameter from non-synchronous data.☆131Updated 6 months ago