blackrock / HOLALinks
☆28Updated 3 years ago
Alternatives and similar repositories for HOLA
Users that are interested in HOLA are comparing it to the libraries listed below
Sorting:
- Bayesian models to compute performance and uncertainty of returns and alpha.☆113Updated 2 years ago
- ☆34Updated 2 years ago
- ☆70Updated 7 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆65Updated 5 years ago
- my talk for credit suisse☆41Updated this week
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- Probability of Backtest Overfitting in Python☆129Updated 2 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆140Updated 2 years ago
- An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization☆36Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated 3 months ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆138Updated 7 years ago
- A portfolio management algorithm for the 21st century.☆94Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- 🪁 A fast Adaptive Machine Learning library for Time-Series, that lets you build, deploy and update composite models easily. An order of …☆102Updated last year
- notebooks used in quant club episodes☆18Updated 2 years ago
- World beating online covariance and portfolio construction.☆311Updated 3 months ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆84Updated last year
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 3 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆87Updated last year
- Tool to support backtests☆49Updated this week
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Updated 7 years ago
- Run hierarchical risk parity algorithms☆51Updated this week
- 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…☆64Updated 9 months ago
- Financial Portfolio Optimization Algorithms☆59Updated last year