liorsidi / sp500-stock-similarity-time-seriesLinks
Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co-integration, Euclidean and Pearson.
☆100Updated 4 years ago
Alternatives and similar repositories for sp500-stock-similarity-time-series
Users that are interested in sp500-stock-similarity-time-series are comparing it to the libraries listed below
Sorting:
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 7 months ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 10 months ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Hidden Markov Model (HMM) based stock forecasting☆104Updated 7 years ago
- DCC GARCH modeling in Python☆101Updated 5 years ago
- ARMA-GARCH☆102Updated 2 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- Quantifying ESG Alpha using Scholar Big Data: An Automated Machine Learning Approach.☆77Updated 4 years ago
- Fama French model on a subset of Canadian Equity data with Python☆50Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 2 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆71Updated 6 years ago
- How to detect stock market crashes with topology.☆82Updated 4 years ago
- Portfolio optimization with cvxopt☆40Updated 2 weeks ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- the book with script☆80Updated 8 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- ☆55Updated 4 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago