enjine-com / mcosLinks
Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
☆57Updated 2 years ago
Alternatives and similar repositories for mcos
Users that are interested in mcos are comparing it to the libraries listed below
Sorting:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Updated 4 years ago
- ☆34Updated 2 years ago
- ☆27Updated 8 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago
- ☆74Updated 3 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 6 months ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- As described in Advances of Machine Learning by Marcos Prado.☆120Updated 3 years ago
- Transformers for limit order books☆120Updated 5 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆37Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated 2 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- finance☆43Updated 8 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 8 months ago
- By means of stochastic volatility models☆44Updated 5 years ago