Design of Portfolio of Stocks to Track an Index
☆59May 28, 2023Updated 2 years ago
Alternatives and similar repositories for sparseIndexTracking
Users that are interested in sparseIndexTracking are comparing it to the libraries listed below
Sorting:
- A Higher-order HMM with EM algo.☆16May 4, 2022Updated 3 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆71Apr 26, 2022Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆38Mar 25, 2019Updated 6 years ago
- Design of Risk Parity Portfolios☆121Nov 15, 2022Updated 3 years ago
- OCET, torch, transformers, DeepLOB,limit-order-books☆10Dec 6, 2022Updated 3 years ago
- Computation of Sparse Eigenvectors of a Matrix☆12Dec 22, 2018Updated 7 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 5 years ago
- My PhD thesis titled "Game-calibrated and user-tailored remote detection of emotions"☆11Sep 21, 2020Updated 5 years ago
- Implement the model of Halperin and Feldshteyn for DJIA and SP500☆10Apr 4, 2019Updated 6 years ago
- Alpha model skeletons & examples☆12Nov 8, 2023Updated 2 years ago
- Tracking S&P 500 index with deep learning model☆13Jul 2, 2023Updated 2 years ago
- The code for Fuzzy Investment Counselor (FIC) and Markowitz portfolio theory for stock investment☆14Sep 2, 2020Updated 5 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆15Jun 1, 2018Updated 7 years ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆15Feb 25, 2025Updated last year
- Stock-Robo-Advisor project including backtesting, simulating and practicality for future.☆13Apr 24, 2021Updated 4 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Feb 7, 2019Updated 7 years ago
- ☆20Oct 6, 2025Updated 4 months ago
- Blaze☆17Jun 19, 2021Updated 4 years ago
- ☆85Dec 12, 2024Updated last year
- Robust Econometric Inference for Predictive Regressions☆18Sep 20, 2025Updated 5 months ago
- DeepMarket is a framework for performing Limit Order Book simulation with Deep Learning. This is also the official repository for the pap…☆68Jan 27, 2026Updated last month
- Supporting data package for the Portfolio Optimization Book☆25Feb 17, 2025Updated last year
- chameleonQuant was born as an open-source Java framework to help enthusiast quants to implement system trading strategies and dynamic por…☆19Jan 4, 2022Updated 4 years ago
- Unofficial PyTorch implementation of FactorVAE☆21Jun 1, 2023Updated 2 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Jul 13, 2022Updated 3 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 6 years ago
- ☆27Dec 8, 2022Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆27Nov 29, 2022Updated 3 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆24Jan 26, 2021Updated 5 years ago
- Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeli…☆176Aug 20, 2024Updated last year
- Second coursework & case from Sber Data Science competition. Links to scientific papers to which I will refer will be here.☆13Nov 12, 2021Updated 4 years ago
- Numerical solution of Hamilton Jacobi Bellman equations☆29Dec 10, 2014Updated 11 years ago
- ☆24Apr 23, 2020Updated 5 years ago
- Simulating the combination of multiarm bandits with the Kelly criterion for portfolio allocation☆29Jul 6, 2023Updated 2 years ago
- High frequency factors based on order and trade data.☆70Dec 16, 2023Updated 2 years ago
- 3rd Year University Undergraduate dissertation project, supervised by https://www.nottingham.ac.uk/computerscience/people/thomas.gaertner…☆23Jun 22, 2018Updated 7 years ago
- Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)☆62Sep 26, 2022Updated 3 years ago
- A research project and comparative study on various Active Noise Cancellation Algorithms like FxLMS, EMFN, Chebyshev filter and Hammerste…☆10Jul 3, 2022Updated 3 years ago
- 戴森球计划的一些mod☆10Feb 24, 2021Updated 5 years ago