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:
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Updated 8 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆129Updated 2 years ago
- ☆73Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆68Updated 6 months ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Risk estimation algorithms☆30Updated 7 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
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 7 months ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆74Updated 7 years ago
- A Survey of Multi-Factor Models☆40Updated 10 years ago
- Compute VIX and related volatility indices☆108Updated 11 months ago
- ☆106Updated 8 years ago
- ☆27Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆71Updated 6 years ago
- Regime-Switching Model☆20Updated 8 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction☆30Updated 8 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Deep learning for forecasting company fundamental data☆141Updated 6 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆37Updated 4 years ago
- Python implementation of a sample covariance matrix shrinkage experiment☆32Updated 11 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago