enexqnt / RBAALinks
Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference
☆25Updated 2 years ago
Alternatives and similar repositories for RBAA
Users that are interested in RBAA are comparing it to the libraries listed below
Sorting:
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆63Updated 2 months ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆22Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Implementation of Modern Portfolio Theory and Black Litterman Model☆19Updated 2 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆47Updated this week
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Development space for PhD in Finance☆33Updated 5 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆22Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆44Updated 4 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆34Updated 5 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆42Updated 3 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…