RyanWangZf / Hurst-exponent-R-S-analysis-Links
Calculates the Hurst exponent of a time series based on Rescaled range (R/S) analysis.
☆53Updated 7 years ago
Alternatives and similar repositories for Hurst-exponent-R-S-analysis-
Users that are interested in Hurst-exponent-R-S-analysis- are comparing it to the libraries listed below
Sorting:
- Calculates the generalized Hurst exponent of a time series☆40Updated last year
- Dynamic lead/lag inference for time series☆16Updated 6 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…☆42Updated 5 months ago
- Hidden Markov Model (HMM) based stock forecasting☆102Updated 7 years ago
- Hurst exponent evaluation and R/S-analysis in Python☆320Updated last year
- ARMA-GARCH☆97Updated last year
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- 多因子选股框架☆23Updated 4 years ago
- ☆51Updated 4 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 10 months ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆119Updated 5 years ago
- ☆48Updated 7 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆68Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated last year
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆23Updated 7 years ago
- ☆22Updated 5 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆98Updated 3 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆69Updated 3 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- A CNN + Auto-Encoder Approach for Predicting Financial Time-Series☆12Updated 6 years ago
- A model for forecasting stock volatility☆22Updated 8 years ago
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 2 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Risk estimation algorithms☆30Updated 6 years ago
- I did this project as one of the parts from a Python test for my Master's degree. The objective was to practice the treatment of financi…☆17Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆58Updated 2 years ago