WLM1ke / LedoitWolf
Ledoit-Wolf covariance matrix estimator of stock returns
☆37Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for LedoitWolf
- Notebooks based on financial machine learning.☆46Updated 4 years ago
- ☆46Updated 7 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆115Updated 6 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆50Updated 10 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Quantitative finance research notebooks☆18Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆60Updated 6 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Advanced Risk and Portfolio Management Resources☆24Updated 5 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆80Updated 3 years ago
- Python tools to quantitatively manage financial risk☆65Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- C++ implementation of rBergomi model☆23Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆37Updated last month
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆75Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆102Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago