TommasoBelluzzo / HFMRDLinks
A framework for detecting misreported returns in hedge funds.
☆16Updated 5 years ago
Alternatives and similar repositories for HFMRD
Users that are interested in HFMRD are comparing it to the libraries listed below
Sorting:
- Development space for PhD in Finance☆33Updated 5 years ago
- My replication of financial papers.☆19Updated 6 years ago
- finance☆43Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 3 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆41Updated 7 years ago
- I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…☆45Updated 4 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- HAR-RV Model For Realized Volatility☆30Updated 9 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Machine Learning for Financial Market Prediction☆59Updated 6 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 7 years ago
- Time series and Financial analysis in python☆16Updated 6 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆63Updated 3 months ago
- Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated 2 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago