elsonidoq / py-l1tfLinks
Python implementation of L1 trend filtering algorithm
☆25Updated 5 years ago
Alternatives and similar repositories for py-l1tf
Users that are interested in py-l1tf are comparing it to the libraries listed below
Sorting:
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- L1 Trend Filtering☆19Updated last year
- This is a Python package wrapper around the C solver for the l1 trend filtering algorithm written by Kwangmoo Koh, Seung-Jean Kim and Ste…☆21Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- ☆18Updated 5 years ago
- A model for forecasting stock volatility☆22Updated 8 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 3 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆47Updated 8 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆127Updated 3 months ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- A unique time series library in Python that consists of Kalman filters (discrete, extended, and unscented), online ARIMA, and time differ…☆32Updated 7 years ago
- finance☆43Updated 7 years ago
- Code for various data snooping tests on financial time series.☆21Updated 10 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Generate stochastic processes using Python. Unfortunately not maintained any longer =(☆111Updated 10 years ago
- An intuitive library tracking dates and timeseries in common using numpy arrays. -- https://sidorof.github.io/Thymus-timeseries/☆18Updated last year
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Python Copula Module☆43Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- Jupyter (IPython) notebooks for exploring mixture models☆36Updated 8 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 9 years ago
- Implementation of Nadaraya-Watson kernel regression with automatic bandwidth selection compatible with sklearn.☆80Updated 9 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆55Updated 3 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆67Updated 7 years ago
- Zero Intelligence Agent-Based Model of Modern Limit Order Book☆53Updated 7 years ago
- Fractal Adaptive Moving Average☆25Updated 4 years ago