kaaaylaaa / causality-based-tradingLinks
☆21Updated 9 months ago
Alternatives and similar repositories for causality-based-trading
Users that are interested in causality-based-trading are comparing it to the libraries listed below
Sorting:
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆127Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- DCC GARCH modeling in Python☆96Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 8 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆46Updated 5 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆25Updated last year
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Gerber robust statistics for portfolio optimization☆59Updated 2 years ago
- Market simulator☆61Updated 5 years ago
- ☆36Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 11 months ago
- ☆67Updated 3 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- ☆22Updated last year
- Multivariate GARCH modelling in Python☆16Updated 10 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆72Updated 4 years ago
- ☆20Updated 7 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆80Updated 9 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 3 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆123Updated 5 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 10 months ago
- Modeling of intraday volatility and volume in financial markets☆15Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆35Updated 2 years ago