mcindoe / regimedetectionLinks
☆33Updated 2 years ago
Alternatives and similar repositories for regimedetection
Users that are interested in regimedetection are comparing it to the libraries listed below
Sorting:
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 10 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 8 months ago
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- As described in Advances of Machine Learning by Marcos Prado.☆120Updated 3 years ago
- ☆15Updated 3 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆96Updated 2 years ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆20Updated last year
- By means of stochastic volatility models☆44Updated 5 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆59Updated 3 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 4 years ago
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆122Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated 10 months ago
- Research Repo (Archive)☆74Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆69Updated 6 months ago
- ☆68Updated 5 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago