matzhaugen / analytic_shrinkageView external linksLinks
Non-Linear Covariance Shrinkage
☆14Jan 1, 2022Updated 4 years ago
Alternatives and similar repositories for analytic_shrinkage
Users that are interested in analytic_shrinkage are comparing it to the libraries listed below
Sorting:
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- ☆15Aug 21, 2021Updated 4 years ago
- Toolbox for IBP Coupled SPCM-CRP Hidden Markov Model. Also contains code for EM-based HMM learning and inference for Bayesian non-paramet…☆14Mar 21, 2019Updated 6 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆48Aug 23, 2019Updated 6 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Trading Stock with Deep Reinforcement Learning☆24Aug 20, 2018Updated 7 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Sep 12, 2023Updated 2 years ago
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago
- An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization☆36May 26, 2022Updated 3 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆31May 26, 2024Updated last year
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆76Dec 11, 2020Updated 5 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆131Jul 6, 2023Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Feb 25, 2021Updated 4 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆76Feb 5, 2018Updated 8 years ago
- ☆13Aug 18, 2025Updated 5 months ago
- Python implementation of Association Rule Mining☆11Apr 26, 2024Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- Python versions of nearest correlation matrix algorithms☆40Jan 16, 2019Updated 7 years ago
- Python app for black-litterman portfolio optimisation☆10Dec 8, 2022Updated 3 years ago
- Using machine learning to improve simulations of a dynamical system☆10Apr 24, 2019Updated 6 years ago
- Library for conditional Gaussian mixture models, compatible with scikit-learn.☆38Oct 1, 2025Updated 4 months ago
- Portfolio optimization and index tracking for the FTSE index using genetic algorithm☆12Jan 13, 2018Updated 8 years ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆11Jul 19, 2019Updated 6 years ago
- Forex Trend Finder App in React Native with Redux for Harvard CS50 Final Project☆10Dec 9, 2022Updated 3 years ago
- Implementation of panel data regression (first differences, fixed effects) in python (numpy, pandas)☆12May 12, 2016Updated 9 years ago
- DCC GARCH modeling in Python☆102Jan 15, 2020Updated 6 years ago
- Applying the Trading Deep Q-Network algorithm (TDQN) on shares in the hydrogen sector.☆11Nov 11, 2020Updated 5 years ago
- Pytorch package for geometric softmax☆12Jun 13, 2019Updated 6 years ago
- Adaptation of Simple Approach to Ordinal Classification for sklearn framework☆12May 18, 2022Updated 3 years ago
- Super-Paramagnetic Clustering, Maximum entropy, Maximum Likelihood Methods.☆11Oct 18, 2021Updated 4 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Jun 22, 2021Updated 4 years ago
- Portfolio Optimisation is a fundamental problem in Financial Mathematics.The objective of this project is to explore the applicability of…☆13Nov 10, 2020Updated 5 years ago
- Attentional Mechanism incorporated in Asynchronous Advantage Actor Critic a3c/a2c deep mind☆10Jan 9, 2018Updated 8 years ago
- A modification of traditional random forest for time-series forecasting☆12Apr 16, 2024Updated last year
- Application for processing Chinese text : Sentiment , Keywords , Abstract☆10Apr 13, 2017Updated 8 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Apr 8, 2020Updated 5 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 years ago
- ☆12Jun 1, 2019Updated 6 years ago