cvxgrp / simulatorLinks
Tool to support backtests
☆48Updated this week
Alternatives and similar repositories for simulator
Users that are interested in simulator are comparing it to the libraries listed below
Sorting:
- ☆70Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- ☆34Updated 6 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- my talk for credit suisse☆41Updated this week
- Run hierarchical risk parity algorithms☆50Updated last week
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- ☆22Updated last week
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- ☆32Updated last week
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆99Updated last year
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆61Updated last month
- Time Series Prediction of Volume in LOB☆59Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 3 weeks ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆50Updated 4 years ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆24Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Risk tools for commodities trading and finance☆36Updated 3 weeks 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…☆64Updated 8 months ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 2 weeks ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆36Updated last month
- ☆49Updated 7 years ago