QuhiQuhihi / regime_modelLinks
detecting regime of financial market
☆42Updated 3 years ago
Alternatives and similar repositories for regime_model
Users that are interested in regime_model are comparing it to the libraries listed below
Sorting:
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- ☆50Updated 2 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- quantitative asset allocation strategy☆35Updated 11 months 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- ☆41Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated last year
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 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
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆26Updated 4 years ago
- ☆73Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Notebooks based on financial machine learning.☆57Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆83Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Portfolio optimization using Genetic algorithm.☆62Updated 5 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago