erksubasi / AutoencoderCovShrinkageLinks
Presentation for QuantCon 2016
☆11Updated 9 years ago
Alternatives and similar repositories for AutoencoderCovShrinkage
Users that are interested in AutoencoderCovShrinkage are comparing it to the libraries listed below
Sorting:
- finance☆43Updated 7 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- ☆35Updated 7 years ago
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆62Updated 2 years ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Probability of Backtest Overfitting☆49Updated 3 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 3 years ago
- Code for various data snooping tests on financial time series.☆18Updated 10 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Use the zipline and pyfolio to analyze trades.☆9Updated 8 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- ☆22Updated 7 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- ☆27Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated last year
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆66Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Event-Driven BackTesting Framework☆15Updated 6 years ago
- Assisting repository for the published paper investigating ensemble methods in algorithmic trading.☆44Updated 7 years ago
- ☆22Updated 5 years ago
- L1 Trend Filtering☆19Updated last year
- Automatically exported from code.google.com/p/ibswigsystematicexamples☆36Updated 8 years ago
- Stock portfolio optimizer in Python based on least correlated moving sharpe / sortino ratios.☆54Updated 10 years ago