Reckziegel / epo
Enhanced Portfolio Optimization (EPO)
☆10Updated 8 months ago
Related projects ⓘ
Alternatives and complementary repositories for epo
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- Covariance Matrix Estimation via Factor Models☆31Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated 6 months ago
- ☆19Updated last week
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆17Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- ☆28Updated 3 years ago
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆17Updated 3 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated this week
- Fama-French models, idiosyncratic volatility, event study☆28Updated 2 years ago
- ☆14Updated 2 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆17Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆22Updated 9 months ago
- ☆11Updated 7 months ago
- ☆15Updated 4 years ago
- ☆19Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆16Updated last year
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆32Updated 3 weeks ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆12Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- ☆25Updated 2 months ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆37Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Baruch MFE 2019 Spring☆34Updated 4 years ago