mdengler / claLinks
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
☆36Updated 3 years ago
Alternatives and similar repositories for cla
Users that are interested in cla are comparing it to the libraries listed below
Sorting:
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- ☆27Updated 6 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆89Updated 6 months ago
- ☆195Updated 5 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Repository for teachings on Quant Finance☆50Updated 6 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆113Updated 2 years ago
- ☆44Updated last year
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆138Updated 7 years ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- ☆36Updated 8 years ago
- A tool for portfolio managers: use the Black-Litterman model to view optimal portfolio allocations using several of the most popular opti…☆84Updated last year
- Depricated repo. Please refer to mlfinlab☆113Updated 5 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆44Updated 7 years ago
- ☆27Updated 8 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- ☆45Updated 8 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- ☆117Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆246Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago