dthomakos / Prognostikon-CodeLinks
Publicly available Python and Gretl code from posts at my blog Prognostikon
☆11Updated 4 months ago
Alternatives and similar repositories for Prognostikon-Code
Users that are interested in Prognostikon-Code are comparing it to the libraries listed below
Sorting:
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆16Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated last year
- ☆25Updated last month
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- ☆50Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last month
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆26Updated 4 years ago
- ☆17Updated last year
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆14Updated 5 years ago
- Python package for generating Directional Changes - a technical analysis indicator - from time series.☆20Updated 7 years ago
- ☆30Updated 7 months ago
- ☆70Updated 6 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆61Updated last month
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- ☆20Updated 11 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago
- ☆34Updated 6 months ago
- Financial Portfolio Optimization Algorithms☆59Updated last year
- ☆22Updated last year
- Equities Pair Trading/Statistical Arbitrage and Multi-Variable Index Regression☆23Updated 2 years ago
- detecting regime of financial market☆42Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆32Updated 2 years ago
- Submission for the Optiver Challenge as part of the Hex Cambridge Hackathon in January 2021☆26Updated 3 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆49Updated 9 months ago