QuantLet / EmbeddingPortfolio
A repository for portfolio allocation based on embedding data representation
☆11Updated 2 months ago
Alternatives and similar repositories for EmbeddingPortfolio:
Users that are interested in EmbeddingPortfolio are comparing it to the libraries listed below
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆18Updated 8 years ago
- ☆37Updated 2 years ago
- ☆22Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆30Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Implementations of extended PCA methods, such as IPCA and EWMPCA☆15Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 4 months ago
- ☆63Updated this week
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆25Updated this week
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- ☆22Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Multivariate GARCH modelling in Python☆16Updated 5 months ago