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
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated last year
- ☆63Updated this week
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Hierarchical Risk Parity☆28Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆32Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆58Updated 9 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
- Financial Portfolio Optimization Algorithms☆52Updated 6 months ago
- detecting regime of financial market☆33Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆53Updated last year
- ☆39Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆49Updated this week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆28Updated last year
- By means of stochastic volatility models☆42Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Research Repo (Archive)☆70Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆18Updated 6 years ago
- ☆17Updated 4 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆62Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Time Series Prediction of Volume in LOB☆55Updated 9 months ago
- A financial trading method using machine learning.☆59Updated last year
- ☆47Updated 3 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆113Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago