amwatt / thermal_optimal_pathLinks
Dynamic lead/lag inference for time series
☆17Updated 6 years ago
Alternatives and similar repositories for thermal_optimal_path
Users that are interested in thermal_optimal_path are comparing it to the libraries listed below
Sorting:
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 10 months ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆46Updated 6 months ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- ☆33Updated 2 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆128Updated 4 months ago
- ☆19Updated 5 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆56Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆69Updated 5 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Gerber robust statistics for portfolio optimization☆58Updated 2 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- ☆68Updated last month
- ☆19Updated 8 years ago
- Regime-Switching Model☆18Updated 7 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Temporal Attention-Augmented Bilinear Network for Financial Time-Series Data Analysis☆36Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- finance☆43Updated 8 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago