larryleihua / fmlr
Financial Machine Learning with R
☆14Updated 5 years ago
Alternatives and similar repositories for fmlr:
Users that are interested in fmlr are comparing it to the libraries listed below
- Quadratic program minimizing risk while maintaining an expected return with the addition of rollover in the foreign exchange market☆12Updated 8 years ago
- R package for high frequency time series data management☆61Updated 2 weeks ago
- ☆11Updated 4 years ago
- Probability of Backtest Overfitting☆48Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆26Updated 8 years ago
- Performance Attribution for Equity Portfolios☆24Updated last year
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- A Python toolkit for high-frequency trade research.☆41Updated 6 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Repo for code used to perform research for the WorldQuant University MScFE Capstone project on "Application of algorithmic trading strate…☆22Updated 4 years ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- A python implementation of R's PerformanceAnalytics package☆22Updated 11 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆16Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies☆27Updated 4 years ago
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- R package for inference on the Sharpe ratio.☆19Updated 3 months ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 5 years ago
- NYU Tandon lecture slides☆31Updated 2 weeks ago
- Python code for Bayesian Conditional Cointegration☆17Updated 7 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 3 years ago
- ☆15Updated 2 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆17Updated 8 years ago