mawicks / mvarchLinks
Multivariate Volatility Models (ARCH) for stock prices and other time series
☆20Updated last year
Alternatives and similar repositories for mvarch
Users that are interested in mvarch are comparing it to the libraries listed below
Sorting:
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- ☆70Updated 7 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆122Updated 3 months ago
- Portfolio optimization with cvxopt☆40Updated last month
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆135Updated last year
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 7 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- ☆50Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆84Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Risk tools for commodities trading and finance☆37Updated 3 weeks ago
- Research Repo (Archive)☆74Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆87Updated last year
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Time Series Prediction of Volume in LOB☆60Updated last year
- ☆25Updated 2 months ago
- HAR-RV Model For Realized Volatility☆32Updated 9 years ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆30Updated 2 years 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 9 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago