cvxgrp / simulatorLinks
Tool to support backtests
☆45Updated last week
Alternatives and similar repositories for simulator
Users that are interested in simulator are comparing it to the libraries listed below
Sorting:
- my talk for credit suisse☆38Updated last week
- ☆27Updated last week
- ☆67Updated last week
- ☆15Updated last week
- ☆27Updated last month
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Run hierarchical risk parity algorithms☆46Updated last week
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Underlying package for the 10-line cta☆12Updated last week
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆47Updated last month
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated last year
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Financial Portfolio Optimization Algorithms☆56Updated 11 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆90Updated 9 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆62Updated 2 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 2 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆29Updated this week
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- 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…☆63Updated 2 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆114Updated 4 months ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated last year
- Hawkes with Latency☆20Updated 4 years ago
- ☆41Updated 2 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year