Python implementation of random-forest-based nonlinear dependence and correlation measures.
☆15May 3, 2022Updated 4 years ago
Alternatives and similar repositories for rfcorr
Users that are interested in rfcorr are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python library for shrinkage cleaning of large correlation matrices.☆14Mar 7, 2024Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Oct 13, 2022Updated 3 years ago
- Hedge long only portfolio using structural entropy☆16Jul 27, 2022Updated 4 years ago
- ☆17Jan 10, 2022Updated 4 years ago
- ☆13May 27, 2023Updated 3 years ago
- Open source password manager - Proton Pass • AdSecurely store, share, and autofill your credentials with Proton Pass, the end-to-end encrypted password manager trusted by millions.
- A modification of traditional random forest for time-series forecasting☆14Apr 16, 2024Updated 2 years ago
- Python Code used in publications, for archival purposes only☆20Apr 28, 2023Updated 3 years ago
- An opensource TAR framework for experiments and applications☆19Mar 18, 2024Updated 2 years ago
- Vectorized quantile backtesting library☆15May 25, 2023Updated 3 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Jul 13, 2022Updated 4 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆136Oct 13, 2025Updated 11 months ago
- ☆29Apr 17, 2023Updated 3 years ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Jan 19, 2023Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 4 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Online Covariance and Correlation Estimation☆335Sep 14, 2026Updated last week
- Multivariate time-series forecasting on stock market data using a transformer neural network☆11Jan 10, 2023Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆62Jul 5, 2022Updated 4 years ago
- Implementing a first hurdle for expected returns☆18Sep 15, 2026Updated last week
- An algorithmic trading framework for pydata.☆14Apr 2, 2023Updated 3 years ago
- Layer to connect with market providers for data + trading from different algorithmic trading providers / cryptocurrencurrencies / forex /…☆14Dec 8, 2022Updated 3 years ago
- A framework for detecting misreported returns in hedge funds.☆16Aug 25, 2019Updated 7 years ago
- This Python package implements algorithms for multiviews (multimodals) learning☆13Sep 26, 2024Updated last year
- Detecting critical transitions in financial networks with topological data analysis.☆16Mar 12, 2019Updated 7 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- To classify trades into buyer- and seller-initiated.☆168Dec 14, 2022Updated 3 years ago
- 🦔 Subscribe to the content published on Arxiv Sanity.☆28Sep 7, 2026Updated 2 weeks ago
- ☆24Dec 7, 2022Updated 3 years ago
- This repository contains an ulta-fast Python implementation of the Triangulated Maximally filtered Graph (TMFG).☆15Jan 16, 2025Updated last year
- Factor Expression + Historical Data = Factor Values☆31Jan 23, 2024Updated 2 years ago
- List of quantitative programming problems and solutions (most of them are from the algorithms section of Quant Job Q&A by Mark Joshi and …☆22Mar 28, 2024Updated 2 years ago
- My replication of financial papers.☆21Aug 2, 2018Updated 8 years ago
- Instrumented Principal Components Analysis☆267Aug 15, 2022Updated 4 years ago
- Python package for Feature-based Forecast Model Averaging (FFORMA).☆11Jul 6, 2023Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 4 years ago
- An efficient tool for large-scale correlation network analysis☆15Dec 27, 2024Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 6 years ago
- Convert unstructured text into structured datasets☆27Apr 15, 2026Updated 5 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Jul 3, 2018Updated 8 years ago
- Example ITCH 4.1 parser in Haskell/Ragel/C99☆16May 23, 2012Updated 14 years ago