greenfish77 / gaenari
c++ incremental decision tree
☆26Updated 2 years ago
Alternatives and similar repositories for gaenari:
Users that are interested in gaenari are comparing it to the libraries listed below
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆49Updated 2 years ago
- Hierarchical Risk Parity☆28Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- This code demonstrates a multi-branch deep neural network approach to tackling the problem of multivariate temporal sequence prediction b…☆12Updated 4 years ago
- Factor Expression + Historical Data = Factor Values☆29Updated 11 months ago
- Computation of Sparse Eigenvectors of a Matrix☆12Updated 6 years ago
- Python implementation of L1 trend filtering algorithm☆25Updated 4 years ago
- Code for: "A Generalised Signature Method for Time Series"☆59Updated last year
- Code for PCMCI-Ω algorithm from the NeurIPS'23 paper "Causal Discovery in Semi-Stationary Time Series"☆14Updated 3 months ago
- Monash Time Series Classification Library☆38Updated last year
- Source code for the AAAI 2019 paper "On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters" (https://arx…☆19Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 months ago
- ☆33Updated last year
- ☆12Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- A toolkit to boost the productivity of machine learning engineers.☆52Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆45Updated 3 years ago
- Hidden Markov Model☆34Updated 10 months ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆25Updated last year
- A Univariate Time Series Analysis and ARIMA Modeling Package in ANSI C. Updated with SARIMAX and Auto ARIMA.☆62Updated last week
- Distributional Gradient Boosting Machines☆27Updated 2 years ago
- Detection of favorable moments in time series data☆28Updated 8 months ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆81Updated last year
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆17Updated 5 years ago
- Finite-Interval Forecasting Engine: Machine learning models for discrete-time survival analysis and multivariate time series forecasting☆23Updated 10 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago