WLM1ke / LedoitWolfLinks
Ledoit-Wolf covariance matrix estimator of stock returns
☆46Updated 6 years ago
Alternatives and similar repositories for LedoitWolf
Users that are interested in LedoitWolf are comparing it to the libraries listed below
Sorting:
- A Python implementation of the rough Bergomi model.☆134Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- QuantMinds Rough Volatility Workshop lectures☆58Updated 3 months ago
- ☆53Updated 8 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆101Updated 9 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆98Updated last year
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- Research Repo (Archive)☆74Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆50Updated 5 years ago
- Probability of Backtest Overfitting in Python☆127Updated 2 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Gerber robust statistics for portfolio optimization☆62Updated 3 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆130Updated 2 years ago