dppalomar / sparseEigen
Computation of Sparse Eigenvectors of a Matrix
☆13Updated 6 years ago
Alternatives and similar repositories for sparseEigen:
Users that are interested in sparseEigen are comparing it to the libraries listed below
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆17Updated 8 years ago
- Price response function and spread impact analysis in correlated financial markets☆15Updated 3 months ago
- An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies☆27Updated 4 years ago
- An R interface to the ITCH Protocol☆18Updated 7 months ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 4 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated 2 weeks ago
- A python application that wraps around various financial APIs, calculates statistics and optimizes portfolio allocations.☆10Updated last year
- ☆12Updated 2 years ago
- Compile risk with cvxpy☆13Updated this week
- This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…☆11Updated 3 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- Ilya Kipnis's package for performance reporting☆22Updated 10 years ago
- R package for high frequency time series data management☆62Updated last week
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆12Updated 4 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- The Thalesians' LaTeX library☆11Updated last year
- Asynchronous financial data management☆21Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- Financial Portfolio Optimization Algorithms☆54Updated 9 months ago
- Digital Signal Processing Indicators For Market Data.☆31Updated 5 years ago
- R utility functions for the Interactive Brokers TWS API☆8Updated 4 months ago
- ☆10Updated 3 years ago
- Option Volatility and Pricing Models.☆12Updated last month
- Find Black-Scholes implied volatility☆21Updated 6 years ago
- R package for inference on the Sharpe ratio.☆19Updated 3 months ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Performance tear sheets and backtest analysis for Moonshot☆36Updated 3 months ago
- Development space for PhD in Finance☆33Updated 5 years ago