ngloe / olpsR
Functions and algorithms for On-line Portfolio Selection with R
☆22Updated 7 years ago
Related projects ⓘ
Alternatives and complementary repositories for olpsR
- finance☆43Updated 7 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆21Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- Unsupervised Learning to Market Behavior Forecasting Example☆40Updated 4 years ago
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆25Updated last year
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22Updated 10 years ago
- R package for high frequency time series data management☆61Updated 3 weeks ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆45Updated 8 years ago
- HAR-RV Model For Realized Volatility☆27Updated 8 years ago
- Stock portfolio optimizer in Python based on least correlated moving sharpe / sortino ratios.☆54Updated 9 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆17Updated 8 years ago
- ☆33Updated 6 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆53Updated 5 years ago
- ☆15Updated 8 years ago
- Notebooks and stuff from quantfiction.com☆36Updated 4 years ago
- Reinforcement learning environment for trading☆15Updated 6 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Asynchronous financial data management☆21Updated 7 years ago
- Modeling the volatility of commodity futures Indices☆14Updated 7 years ago
- Python package for generating Directional Changes - a technical analysis indicator - from time series.☆19Updated 6 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆22Updated 3 years ago
- A Python toolkit for high-frequency trade research.☆39Updated 6 years ago