Alternatives and similar repositories for mvarch

Users that are interested in mvarch are comparing it to the libraries listed below

• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆17Updated 9 months ago
• cvxgrp / cov_pred_finance
  ☆68Updated last month
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆83Updated 6 months ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 9 months ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆39Updated 9 months ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆40Updated 6 months ago
• Mircea-MMXXI / azapy
  Financial Portfolio Optimization Algorithms
  ☆57Updated last year
• eguidotti / bidask
  Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
  ☆117Updated 5 months ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆34Updated 2 years ago
• crunchdao / quickstarters-adialab
  ☆50Updated 2 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated last year
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆57Updated last year
• stefan-jansen / synthetic-data-for-finance
  Material for QuantUniversity talk on Sythetic Data Generation for Finance.
  ☆115Updated 4 years ago
• rubenbriones / Probabilistic-Sharpe-Ratio
  Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)
  ☆128Updated 4 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆85Updated 2 years ago
• kieranjwood / x-trend
  X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
  ☆80Updated last year
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆87Updated 5 months ago
• milenavuletic / Fin-GAN
  Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"
  ☆125Updated last year
• microprediction / precise
  World beating online covariance and portfolio construction.
  ☆305Updated last month
• sumilk / algo_trading
  ☆141Updated 2 years ago
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆75Updated 4 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆94Updated 11 months ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆79Updated 7 months ago
• maxlamberti / time-series-momentum
  🚂💨 Deep Momentum Networks for Time Series Strategies
  ☆125Updated 5 years ago
• kayuksel / generative-opt
  Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization
  ☆83Updated 2 years ago
• thk3421-models / KellyPortfolio
  A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations
  ☆84Updated last month
• enexqnt / RBAA
  Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference
  ☆25Updated 2 years ago
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆57Updated last year