Alternatives and similar repositories for highOrderPortfolios

Users that are interested in highOrderPortfolios are comparing it to the libraries listed below

• cvxgrp / cov_pred_finance
  ☆68Updated last month
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆36Updated 6 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• cvxgrp / cvxmarkowitz
  ☆28Updated 2 months ago
• YannickKae / Statistical-Learning-based-Portfolio-Optimization
  This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…
  ☆14Updated last year
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 8 months ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆31Updated 9 years ago
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 7 years ago
• mawicks / deep-volatility-models
  Volatility models for stock prices using deep learning and mixture models.
  ☆16Updated 2 years ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆51Updated 2 years ago
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆35Updated 2 years ago
• cvxgrp / cvxrisk
  ☆15Updated last week
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆40Updated 6 months ago
• Mircea-MMXXI / azapy
  Financial Portfolio Optimization Algorithms
  ☆57Updated last year
• dppalomar / portfolioBacktest
  Automated Backtesting of Portfolios over Multiple Datasets
  ☆63Updated 3 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• yye9701 / KR_example
  ☆22Updated 3 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 10 months ago
• hongwai1920 / Implement-Option-Pricing-Model-using-Python
  Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…
  ☆31Updated 4 years ago