Alternatives and similar repositories for sparseIndexTracking

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

• dppalomar / riskParityPortfolio
  Design of Risk Parity Portfolios
  ☆116Updated 3 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆118Updated 11 months ago
• dppalomar / portfolioBacktest
  Automated Backtesting of Portfolios over Multiple Datasets
  ☆68Updated 3 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆37Updated 6 years ago
• viniesposito / py-mlfactor
  Rewriting the code in "Machine Learning for Factor Investing" in Python
  ☆93Updated 4 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆91Updated 6 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆99Updated last year
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆66Updated 3 years ago
• WongYatChun / Advances-in-Financial-Machine-Learning
  Notes on Advances in Financial Machine Learning
  ☆82Updated 7 years ago
• philipperemy / lead-lag
  Estimation of the lead-lag parameter from non-synchronous data.
  ☆133Updated 8 months ago
• chenhaotian / High-Frequency-Trading-Simulation-System
  HFT, A high-frequency trading simulation package in R
  ☆89Updated 7 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆94Updated 2 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆122Updated last year
• gzj1992 / Portfolio_Construction
  Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
  ☆41Updated 7 years ago
• algoquant / HighFreq
  R package for high frequency time series data management
  ☆64Updated 6 months ago
• maxlamberti / time-series-momentum
  🚂💨 Deep Momentum Networks for Time Series Strategies
  ☆125Updated 5 years ago
• BryceMeng / mlfinlab_research_bryce
  ☆24Updated 5 years ago
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆74Updated 5 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆35Updated last year
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆62Updated 3 years ago
• lorenzolucchese / deepOBs
  The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.
  ☆56Updated 2 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆71Updated last year
• sanjeevai / multi-factor-model
  Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…
  ☆135Updated 6 years ago
• jcrichard / pyrb
  Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python
  ☆130Updated 2 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆71Updated 6 years ago
• pjgranahan / qfrm
  Python tools to quantitatively manage financial risk
  ☆69Updated 6 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆65Updated 6 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…
  ☆160Updated last week
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆77Updated 7 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago