cvxgrp / simulator

Related projects ⓘ

Alternatives and complementary repositories for simulator

• cvxgrp / cov_pred_finance
  ☆60Updated last week
• tschm / cs
  my talk for credit suisse
  ☆36Updated this week
• cvxgrp / cvxmarkowitz
  ☆24Updated this week
• cvxgrp / cvxstatarb
  ☆19Updated this week
• ArturSepp / OptimalPortfolios
  Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python
  ☆34Updated 3 weeks ago
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 2 years ago
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆31Updated last month
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated last year
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆53Updated 7 months ago
• cvxgrp / markowitz-reference
  This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…
  ☆22Updated last week
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆48Updated 2 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆72Updated 2 months ago
• maxe-team / maxe
  Multi-Agent eXchange simulator developed at Oxford-Man Institute
  ☆57Updated 4 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆38Updated last month
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆61Updated 2 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆35Updated 4 years ago
• eguidotti / bidask
  Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
  ☆100Updated 3 months ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆50Updated 10 months ago
• tschm / pyhrp
  Run hierarchical risk parity algorithms
  ☆18Updated this week
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆53Updated 8 months ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆112Updated 10 months ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆41Updated 4 years ago
• IlyaKipnis / PythonBacktesting
  Backtest asset allocation strategies in Python with only a background in pandas necessary
  ☆46Updated last year
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆76Updated last year
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 6 months ago
• ahgperrin / PyCurve
  PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…
  ☆38Updated 3 years ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆19Updated 3 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆22Updated last year
• enexqnt / RBAA
  Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference
  ☆25Updated 2 years ago