convexfi / fingraph
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
☆37Updated last year
Related projects ⓘ
Alternatives and complementary repositories for fingraph
- By means of stochastic volatility models☆41Updated 4 years ago
- Time Series Prediction of Volume in LOB☆53Updated 7 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆48Updated 2 years ago
- ☆32Updated last year
- Hawkes with Latency☆19Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 2 months ago
- ☆46Updated 3 years ago
- ☆37Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 5 years ago
- ☆60Updated last week
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆76Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆32Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Bitmex market microstructure analytics☆20Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆19Updated this week
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆12Updated 3 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆12Updated 4 months ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆34Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago