mjbommar / rfcorrLinks
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
Sorting:
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- 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
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- ☆13Updated 2 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
- Financial Portfolio Optimization Algorithms☆57Updated last year
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 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 …☆12Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆28Updated 5 years ago
- ☆33Updated 2 years ago
- ☆26Updated 10 months ago
- Value and Momentum Using Machine Learning☆11Updated 4 years 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
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆26Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆35Updated last year
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆63Updated 3 months ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆12Updated 2 years ago
- TSForecasting: Automated Time Series Forecasting Framework☆28Updated 7 months ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆38Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 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…☆45Updated 5 months ago
- ☆14Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago