Python implementation of a sample covariance matrix shrinkage experiment
☆32Dec 2, 2013Updated 12 years ago
Alternatives and similar repositories for covshrink
Users that are interested in covshrink are comparing it to the libraries listed below
Sorting:
- ☆11Mar 20, 2015Updated 10 years ago
- Comprehensive Python Cheatsheet☆11Oct 12, 2022Updated 3 years ago
- A repository of basic quantitative finance tools to be used on other projects☆11Mar 19, 2020Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Oct 29, 2021Updated 4 years ago
- awesome reinforcement learning for trading domain☆12Nov 5, 2020Updated 5 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- Quantamental finance research with python☆154Jun 3, 2022Updated 3 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Jun 13, 2019Updated 6 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆23Sep 3, 2024Updated last year
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆48Aug 23, 2019Updated 6 years ago
- mt4-redis a hiredis library wrapper for using Redis in MT4 Client.☆21Jun 8, 2016Updated 9 years ago
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 7 years ago
- Super fast dynamic nested sampling with PolyChord (Python, C++ and Fortran likelihoods).☆22May 3, 2020Updated 5 years ago
- Machine Learning in Asset Management☆20Jul 18, 2019Updated 6 years ago
- ☆21Jun 22, 2020Updated 5 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆23Apr 11, 2020Updated 5 years ago
- Financial Portfolio Optimization Routines in Python☆314Aug 31, 2022Updated 3 years ago
- ☆27Oct 2, 2017Updated 8 years ago
- Contrastive Multi-granularity Learning for Stock Trend Prediction☆24May 27, 2021Updated 4 years ago
- QATRADER☆27Aug 19, 2020Updated 5 years ago
- Code for getting implied volatility in Python☆27Jul 27, 2017Updated 8 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆38Jul 5, 2023Updated 2 years ago
- Code base for the practitioner's guide to the ONC algorithm paper published with the Journal of Financial Data Science☆20Jun 8, 2023Updated 2 years ago
- The official example scripts for the Numerai Signals Data Science Tournament☆32Sep 29, 2025Updated 5 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Oct 31, 2012Updated 13 years ago
- awesome-financial-networks☆39Jul 15, 2019Updated 6 years ago
- quantaxis_webserver☆33Sep 30, 2021Updated 4 years ago
- Lecture slides for Macroeconometrics☆12Jun 17, 2024Updated last year
- MATLAB code for pricing financial derivatives. Uses finite-difference methods to solve a modified version of the Black Scholes equation. …☆12Jun 11, 2018Updated 7 years ago
- ☆36Nov 27, 2017Updated 8 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Dec 15, 2021Updated 4 years ago
- exemplar code to download all option chains for a symbol using pyetrade (V1 Etrade API)☆10Sep 28, 2021Updated 4 years ago
- Robust pricing and hedging via Neural SDEs☆38Aug 4, 2021Updated 4 years ago
- Time Value of Money - a Python package for mathematical interest theory, annuity, and bond calculations.☆38Jun 8, 2021Updated 4 years ago
- A framework for historical volatility estimation and analysis.☆35Jun 14, 2020Updated 5 years ago