markmipt / fast_combinatorial_cvLinks
Fast Combinatorial Cross Validation
☆17Updated 4 years ago
Alternatives and similar repositories for fast_combinatorial_cv
Users that are interested in fast_combinatorial_cv are comparing it to the libraries listed below
Sorting:
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Python library for asset pricing☆120Updated last year
- ☆73Updated 3 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- 🪁 A fast Adaptive Machine Learning library for Time-Series, that lets you build, deploy and update composite models easily. An order of …☆102Updated last year
- Investment Funnel 📈 is an open-source python platform designed for an easy development and backtesting of outperforming investment strat…☆69Updated this week
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆82Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 8 months ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆123Updated 4 years ago
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆121Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- ☆33Updated 2 years ago
- ☆215Updated 8 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆87Updated 4 months ago
- Introductory tutorial for Zipline demonstrating data collection, interactive research, and backtesting of a momentum strategy for equitie…☆12Updated 9 months ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 9 months ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 7 months ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆29Updated last year
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- Master repository for the pandas-ml modules☆164Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆153Updated 2 years ago
- some zipline data bundles☆65Updated last year
- Financial Portfolio Optimization Algorithms☆59Updated last year