hudson-and-thames / portfoliolab
PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professionals in the industry.
☆159Updated 3 years ago
Alternatives and similar repositories for portfoliolab:
Users that are interested in portfoliolab are comparing it to the libraries listed below
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆126Updated 2 months ago
- We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.☆258Updated 2 years ago
- ☆208Updated 7 years ago
- Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado☆206Updated 3 years ago
- trend / momentum and other patterns in financial timeseries☆250Updated 3 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆123Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆137Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆157Updated 5 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆235Updated last year
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆249Updated this week
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆122Updated 5 years ago
- experiments with pair trading☆279Updated 2 months ago
- Notes on Advances in Financial Machine Learning☆76Updated 6 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆158Updated 2 months ago
- Quantitative finance research tools in Python☆414Updated 2 years ago
- CS7641 Team project☆93Updated 4 years ago
- Option visualization python package☆146Updated last year
- Probability of Backtest Overfitting in Python☆119Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆153Updated 4 years ago
- MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable…☆63Updated last year
- Option and stock backtester / live trader☆248Updated 2 months ago
- A collection of homeworks of market microstructure models.☆221Updated 6 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆113Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆239Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- Quantamental finance research with python☆144Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆128Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year