dppalomar / portfolioBacktest

Related projects ⓘ

Alternatives and complementary repositories for portfolioBacktest

• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 5 years ago
• dppalomar / riskParityPortfolio
  Design of Risk Parity Portfolios
  ☆107Updated 2 years ago
• braverock / FactorAnalytics
  ☆67Updated 8 months ago
• JustinMShea / ExpectedReturns
  ☆41Updated 3 months ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• algoquant / HighFreq
  R package for high frequency time series data management
  ☆61Updated 3 weeks ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆61Updated 2 years ago
• jonathancornelissen / highfrequency
  The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…
  ☆149Updated last year
• R-Finance / Meucci
  ☆45Updated 8 years ago
• returnandrisk / meucci-python
  Python Code for Meucci Related Blog Posts
  ☆16Updated 8 years ago
• dppalomar / sparseIndexTracking
  Design of Portfolio of Stocks to Track an Index
  ☆50Updated last year
• braverock / PortfolioAnalytics
  ☆79Updated 2 weeks ago
• klausspanderen / RHestonSLV
  ☆17Updated 3 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆24Updated last year
• rubetron / AssetAllocation
  R package AssetAllocation
  ☆34Updated 11 months ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆72Updated 2 months ago
• mrbcuda / pbo
  Probability of Backtest Overfitting
  ☆48Updated 2 years ago
• BessieChen / R-in-Finance
  This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …
  ☆47Updated 6 years ago
• zeyuz35 / Evaluation-of-Machine-Learning-in-Asset-Pricing
  ☆28Updated 3 years ago
• shokru / mlfactor.github.io
  Website dedicated to a book on machine learning for factor investing
  ☆209Updated last year
• monty-se / PINstimation
  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…
  ☆34Updated last month
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆31Updated 8 years ago
• MikeMKH / quantitative-investment-portfolio-analytics-in-r
  Daily kata from Quantitative Investment Portfolio Analytics In R
  ☆13Updated 5 years ago
• zhanghaitao1 / awesome-quant-papers
  This repository hosts my reading notes for academic papers.
  ☆77Updated 3 years ago
• BessieChen / Algorithmic-Portfolio-Management-in-R-programming-language
  The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…
  ☆12Updated 6 years ago
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆18Updated 4 years ago
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆18Updated 9 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆34Updated 3 years ago
• algoquant / lecture_slides
  NYU Tandon lecture slides
  ☆31Updated 3 weeks ago