mayabenowitz / HedgecraftLinks
A portfolio management algorithm for the 21st century.
☆93Updated 5 years ago
Alternatives and similar repositories for Hedgecraft
Users that are interested in Hedgecraft are comparing it to the libraries listed below
Sorting:
- Hawkes with Latency☆20Updated 4 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- ☆70Updated 5 months ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆59Updated 2 weeks ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆59Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Tool to support backtests☆48Updated this week
- ☆33Updated 5 months ago
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 5 years ago
- Run hierarchical risk parity algorithms☆50Updated last week
- ☆36Updated 8 years ago
- ☆27Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- How to detect stock market crashes with topology.☆82Updated 4 years ago
- my talk for credit suisse☆41Updated last week
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- ☆20Updated last week
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year