PTRRupprecht / GenHurstLinks
Calculates the generalized Hurst exponent of a time series
☆40Updated last year
Alternatives and similar repositories for GenHurst
Users that are interested in GenHurst are comparing it to the libraries listed below
Sorting:
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆67Updated 8 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 4 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆91Updated 2 years ago
- ☆73Updated 3 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆131Updated 6 months ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 2 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆70Updated 6 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- finance☆43Updated 8 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
- Fractal Adaptive Moving Average☆26Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Compute VIX and related volatility indices☆108Updated 10 months ago
- An event-based backtester written in Python for algorithmic trading.☆43Updated 8 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- A model for forecasting stock volatility☆22Updated 8 years ago
- ARMA-GARCH☆99Updated 2 years ago
- A simple, self-coded recurrent neural network that uses weekly changes in 10 major sector ETFs to predict which sectors will grow in the …☆16Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- ☆195Updated 5 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 4 years ago