mcindoe / regimedetection
☆33Updated last year
Alternatives and similar repositories for regimedetection:
Users that are interested in regimedetection are comparing it to the libraries listed below
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆32Updated 3 weeks ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- detecting regime of financial market☆34Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Time Series Prediction of Volume in LOB☆56Updated 9 months ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆57Updated last month
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- ☆39Updated 3 years ago
- ☆17Updated 4 years ago
- ☆63Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 9 months ago
- Estimation of the lead-lag parameter from non-synchronous data.☆119Updated 9 months ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆58Updated last year
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Backtest result archive for Momentum Trading Strategies☆49Updated 5 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆52Updated 2 years ago
- Notebooks based on financial machine learning.☆47Updated 4 years ago
- A financial trading method using machine learning.☆58Updated last year
- Hierarchical Risk Parity☆28Updated 4 years ago
- ☆35Updated last year
- ☆20Updated 2 weeks ago