QuantLet / EmbeddingPortfolioLinks
A repository for portfolio allocation based on embedding data representation
☆12Updated last year
Alternatives and similar repositories for EmbeddingPortfolio
Users that are interested in EmbeddingPortfolio are comparing it to the libraries listed below
Sorting:
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 3 years ago
- ☆14Updated last year
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- ☆22Updated 3 years ago
- ☆20Updated 9 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- quantitative asset allocation strategy☆35Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- ☆24Updated 6 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆31Updated 3 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆31Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆13Updated 2 years ago
- Financial Machine Learning Repository☆11Updated last year
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 5 months ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Non-Linear Covariance Shrinkage☆14Updated 4 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Updated 3 years ago