Alternatives and similar repositories for sparseIndexTracking:

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

• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 6 years ago
• dppalomar / portfolioBacktest
  Automated Backtesting of Portfolios over Multiple Datasets
  ☆60Updated 3 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆85Updated 8 months ago
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆57Updated 2 years ago
• algoquant / HighFreq
  R package for high frequency time series data management
  ☆62Updated last month
• dppalomar / riskParityPortfolio
  Design of Risk Parity Portfolios
  ☆108Updated 2 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆80Updated 2 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆29Updated 9 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆46Updated 8 years ago
• ArdiaD / RiskPortfolios
  Functions for the construction of risk-based portfolios
  ☆51Updated 3 years ago
• thedatabeat / SVI
  ☆50Updated 7 years ago
• mrbcuda / pbo
  Probability of Backtest Overfitting
  ☆48Updated 2 years ago
• zhanghaitao1 / awesome-quant-papers
  This repository hosts my reading notes for academic papers.
  ☆84Updated 3 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆56Updated 6 years ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆36Updated last year
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆76Updated 6 years ago
• aconstandinou / pairs-trading-equities
  ☆24Updated 6 years ago
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆18Updated 9 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆60Updated last year
• icezerowjj / MultipleFactorRiskModel
  This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…
  ☆72Updated 7 years ago
• yl2 / pa
  Performance Attribution for Equity Portfolios
  ☆24Updated last year
• gzj1992 / Portfolio_Construction
  Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
  ☆40Updated 7 years ago
• yukit-k / ai-alpha
  AI based alpha research for trading
  ☆48Updated 2 years ago
• kieranjwood / x-trend
  X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
  ☆75Updated last year
• Morgansy / Genetic-Alpha
  A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy
  ☆62Updated 4 years ago
• NikoLee18 / silly_HOHMM
  A Higher-order HMM with EM algo.
  ☆16Updated 3 years ago
• philipperemy / lead-lag
  Estimation of the lead-lag parameter from non-synchronous data.
  ☆124Updated last month
• cuicanyeah / Alpha-Generation
  ☆27Updated last year
• anthonyng2 / Time-Series-Momentum
  ☆18Updated 8 years ago
• BryceMeng / mlfinlab_research_bryce
  ☆22Updated 5 years ago