mayabenowitz / Hedgecraft
A portfolio management algorithm for the 21st century.
☆89Updated 4 years ago
Alternatives and similar repositories for Hedgecraft:
Users that are interested in Hedgecraft are comparing it to the libraries listed below
- Collection of Python scripts for the book "An Introduction to Econophysics: Contemporary Approaches with Python Simulations"☆31Updated 5 months ago
- Tool to support backtests☆43Updated this week
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆64Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆23Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆142Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆75Updated 2 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 6 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆60Updated 4 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆117Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- ☆22Updated 3 years ago
- ☆27Updated 6 years ago
- ☆63Updated this week
- 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…☆62Updated 3 weeks ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆35Updated 3 weeks ago
- Implementations of extended PCA methods, such as IPCA and EWMPCA☆15Updated 3 years ago
- ☆50Updated last year
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆157Updated 5 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆42Updated last week
- Financial Portfolio Optimization Algorithms☆54Updated 9 months ago
- Quantitative finance research notebooks☆19Updated 5 years ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago