Roh-codeur / mlfinlab-1Links
☆14Updated 2 years ago
Alternatives and similar repositories for mlfinlab-1
Users that are interested in mlfinlab-1 are comparing it to the libraries listed below
Sorting:
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 7 months ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- ☆40Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- ☆23Updated 5 years ago
- Notebooks based on financial machine learning.☆50Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆76Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Package to build risk model for factor pricing model☆26Updated 10 months ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- detecting regime of financial market☆36Updated 2 years ago
- ☆19Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 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…☆40Updated 4 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆45Updated last week
- ☆41Updated 2 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year