mjbommar / rfcorr
Random Forest-based "Correlation" measures
☆15Updated 3 years ago
Alternatives and similar repositories for rfcorr:
Users that are interested in rfcorr are comparing it to the libraries listed below
- openseries is a project with tools to analyze financial timeseries of a single asset or a group of assets. It is solely made for daily or…☆28Updated this week
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated 11 months ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 7 months ago
- ☆13Updated last year
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 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 …☆12Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆34Updated 2 years ago
- ☆26Updated 8 months ago
- Value and Momentum Using Machine Learning☆11Updated 4 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆37Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 5 months ago
- This is a sentiment trading strategy, written in Python, and applying NLP on 10-K's from the SEC EDGAR database.☆10Updated 3 years ago
- ☆14Updated 4 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- ☆33Updated last year
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- Time series and Financial analysis in python☆16Updated 6 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Underlying package for the 10-line cta☆12Updated last week
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- ☆16Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Hierarchical Risk Parity☆28Updated 5 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Asynchronous financial data management☆21Updated 7 years ago