leolle / simulate
This is a finance factor model, risk model, portfolio optimization, strategies research library.
☆16Updated 6 years ago
Alternatives and similar repositories for simulate:
Users that are interested in simulate are comparing it to the libraries listed below
- Regime-Switching Model☆17Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- Risk estimation algorithms☆30Updated 6 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆20Updated 2 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- A library for portfolio optimization algorithms with python interface.☆28Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- AI based alpha research for trading☆46Updated 2 years ago
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- ☆17Updated 6 years ago
- ☆24Updated 6 years ago
- These are trading results and arbitrage models from Southern China Center for Statistical Science (SC2S2), Sun Yat-sen University☆18Updated 6 years ago
- ☆17Updated 8 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 weeks ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆18Updated 4 years ago
- ☆27Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆44Updated 8 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- Deep learning for price movement prediction using high frequency limit order data☆39Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 5 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 4 years ago
- ☆49Updated 3 years ago