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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆11Mar 20, 2015Updated 11 years ago
- Compute shrinkage estimates of the covariance matrix☆15Oct 12, 2015Updated 10 years ago
- ☆21May 30, 2021Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 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
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing☆10Nov 6, 2021Updated 4 years ago
- Lecture slides for Macroeconometrics☆12Jun 17, 2024Updated last year
- Method Multi-Layer Robust Principal Component Analysis. This method was introduced in the paper Camera-Trap Images Segmentation using Mul…☆15Jan 2, 2018Updated 8 years ago
- Quantamental finance research with python☆154Jun 3, 2022Updated 3 years ago
- A repository of basic quantitative finance tools to be used on other projects☆11Mar 19, 2020Updated 6 years ago
- Portfolio and risk analytics in Python☆13Nov 18, 2025Updated 4 months ago
- Presentation for QuantCon 2016☆11Apr 9, 2016Updated 10 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- Analysis of the results of the paper "Predicting the direction of stock market prices using random forest" (2016) by Khaidem et al.☆13Aug 25, 2019Updated 6 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Non-negative matrix factorization using MUR, ANLS, ADMM or AO-ADMM.☆10Aug 20, 2023Updated 2 years ago
- ☆27Oct 2, 2017Updated 8 years ago
- Machine Learning in Asset Management☆20Jul 18, 2019Updated 6 years ago
- Using LSTM to execute a sector rotation trading strategy☆12Oct 4, 2019Updated 6 years ago
- mt4-redis a hiredis library wrapper for using Redis in MT4 Client.☆21Jun 8, 2016Updated 9 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆22Apr 11, 2020Updated 6 years ago
- Super fast dynamic nested sampling with PolyChord (Python, C++ and Fortran likelihoods).☆22May 3, 2020Updated 5 years ago
- Financial Portfolio Optimization Routines in Python☆313Aug 31, 2022Updated 3 years ago
- # Algorithms compared: # > Proximal Gradient Descent # > Accelerated Proximal Gradient Descent # > Coordinate Descent # > Alternating Di…☆11Feb 4, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Tool for technical analysis of financial data about companies indexed on the stockmarket using machine learning☆11Sep 6, 2017Updated 8 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆178Dec 2, 2021Updated 4 years ago
- ☆47Oct 21, 2023Updated 2 years ago
- Algorithms Generation from Quantitative Finance Articles to QuantConnect☆15Oct 4, 2024Updated last year
- A collection of quantitative finance notebooks. Including MPT, Monte Carlo simulations and Machine Learning algorithms☆16Sep 26, 2022Updated 3 years ago
- Forward-Backward Splitting (FBS) Algorithms for Non-convex Total Variation Denoising☆11Aug 29, 2018Updated 7 years ago
- Gesture recognition for the LeapMotion device☆21Jan 26, 2013Updated 13 years ago
- This is the code that generates the figures in the paper titled "Covariance Matrix Estimation for Massive MIMO" authored by Karthik Upadh…☆16Jun 17, 2018Updated 7 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Oct 31, 2012Updated 13 years ago
- Deploy open-source AI quickly and easily - Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Functions for the construction of risk-based portfolios☆54May 16, 2021Updated 4 years ago
- AI for trading☆17Dec 12, 2018Updated 7 years ago
- American Sign Language Recognition System (MATLAB)☆14Jul 12, 2016Updated 9 years ago
- Graham scan implementation in javascript☆11Jul 24, 2015Updated 10 years ago
- The matlab code for the paper 'GoDec+: Fast and Robust Low-Rank Matrix Decomposition Based on Maximum Correntropy'☆16Oct 20, 2017Updated 8 years ago
- ☆10Feb 18, 2024Updated 2 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago