Sinbad-The-Sailor / AbacusLinks
Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
☆20Updated last year
Alternatives and similar repositories for Abacus
Users that are interested in Abacus are comparing it to the libraries listed below
Sorting:
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 9 months ago
- ☆14Updated 5 years ago
- Implementation of transfer learning based with autoencoder architecture☆17Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 11 months ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.☆15Updated 4 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆36Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆15Updated 11 months ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- TSForecasting: Automated Time Series Forecasting Framework☆29Updated 9 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Dynamic lead/lag inference for time series☆17Updated 6 years ago
- Alpha model skeletons & examples☆12Updated last year
- Quant finance scripts☆16Updated 4 months ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Volatility Decomposition of Asset Price Time Series☆11Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Hawkes with Latency☆20Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Python Copula Module☆43Updated 2 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago