StateOfTheArt-quant / sharpe
sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinforcement learning) in the context of quantitative trading
☆49Updated 3 years ago
Alternatives and similar repositories for sharpe:
Users that are interested in sharpe are comparing it to the libraries listed below
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- A financial trading method using machine learning.☆60Updated last year
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 5 years ago
- Time Series Prediction of Volume in LOB☆56Updated 11 months ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Research Repo (Archive)☆72Updated 4 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- ☆39Updated 3 years ago
- Code to support my Master's thesis☆19Updated last year
- Common financial risk and performance metrics. Used by zipline and pyfolio.☆70Updated 4 months ago
- Collections of snippets for trading I find interesting☆25Updated last month
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆59Updated last year
- ☆72Updated 2 years ago
- Financial Portfolio Optimization Algorithms☆54Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- finance☆43Updated 7 years ago
- ☆21Updated 4 years ago
- my talk for credit suisse☆38Updated last week
- ☆49Updated 3 years ago