bugra / l1Links
L1 Trend Filtering
☆19Updated last year
Alternatives and similar repositories for l1
Users that are interested in l1 are comparing it to the libraries listed below
Sorting:
- Files for Python Talk☆24Updated 9 years ago
- BlackScholes Model, with Montecarlo implmented in python with TensorFlow☆17Updated 9 years ago
- ☆10Updated 8 years ago
- A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis☆21Updated 8 years ago
- Hawkes Process Estimation☆53Updated 11 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- Python Copula Module☆43Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Machine Learning for Financial Market Prediction☆59Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆47Updated 8 years ago
- Value and Momentum Using Machine Learning☆11Updated 4 years ago
- tabular q learning for trading☆12Updated 6 years ago
- Currency Portfolio Optimization - IPython notebook and data☆26Updated 9 years ago
- RF + GBM + ARIMA/NN Hybrid ensemble for predicting 6-month returns for the 9 sector ETFs plus IYZ☆24Updated 11 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Markov Switching Models for Statsmodels☆23Updated 9 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Deep learning in large multivariate time series using real-time feature extraction with MDFA☆12Updated 7 years ago
- Presentation for QuantCon 2016☆11Updated 9 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 years ago
- ☆27Updated 6 years ago