mayabenowitz / Hedgecraft
A portfolio management algorithm for the 21st century.
☆86Updated 4 years ago
Alternatives and similar repositories for Hedgecraft:
Users that are interested in Hedgecraft are comparing it to the libraries listed below
- ☆63Updated 2 weeks ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆53Updated 2 years ago
- ☆20Updated 2 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 5 years ago
- Time Series Prediction of Volume in LOB☆56Updated 10 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Teaching Resources for Cuemacro courses☆53Updated last month
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆138Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆36Updated 4 months ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 6 years ago
- ☆35Updated 2 years ago
- How to detect stock market crashes with topology.☆78Updated 3 years ago
- my talk for credit suisse☆38Updated this week
- By means of stochastic volatility models☆43Updated 4 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆45Updated 3 years ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- alpha-RNN☆29Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- 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 6 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆59Updated 4 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 3 years ago
- Python library for asset pricing☆111Updated 11 months ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆64Updated 10 months ago
- Hawkes with Latency☆19Updated 4 years ago
- Tool to support backtests☆43Updated this week
- This repo is for my articles published on Medium.com☆16Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆54Updated last year
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year