jheusser / hawkesLinks
Hawkes Process Estimation
☆52Updated 11 years ago
Alternatives and similar repositories for hawkes
Users that are interested in hawkes are comparing it to the libraries listed below
Sorting:
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 13 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- L1 Trend Filtering☆19Updated last year
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 8 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Updated 9 years ago
- ☆27Updated 6 years ago
- a new simulator for statistical arbitrage☆15Updated 10 years ago
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆47Updated 8 years ago
- A Python toolkit for high-frequency trade research.☆43Updated 7 years ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Predictive analysis of the OLMAR algorithm☆13Updated 9 years ago
- Embedding stocks to vectors based on the price history☆64Updated 9 years ago
- Code for various data snooping tests on financial time series.☆22Updated 10 years ago
- Machine Learning for Financial Market Prediction☆59Updated 7 years ago
- ☆18Updated 5 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- Event-driven Algorithmic Trading For Python☆26Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Proof of concept Cointegration-Based spread trading strategy applied to the Foreign Exchange market☆37Updated 9 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com☆51Updated 11 years ago
- Reinforcement learning environment for trading☆15Updated 8 years ago
- Probability of Backtest Overfitting☆49Updated 3 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 8 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Updated 3 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Updated 5 years ago
- Simulating the combination of multiarm bandits with the Kelly criterion for portfolio allocation☆28Updated 2 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 7 years ago