niknow / backtesting-decorrelatedLinks
Illustration of the decorrelation method to perform backtesting on correlated data.
☆19Updated 11 months ago
Alternatives and similar repositories for backtesting-decorrelated
Users that are interested in backtesting-decorrelated are comparing it to the libraries listed below
Sorting:
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- 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…☆64Updated 6 months ago
- ☆25Updated 7 months ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆37Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆77Updated 4 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆49Updated 6 months ago
- Python library for asset pricing☆117Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆81Updated 10 months ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last week
- Fast Risks with QuantLib in Python☆17Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Portfolio Construction and Risk Management book's Python code.☆132Updated 2 weeks ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆89Updated last month
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆41Updated last year
- ☆51Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Risk tools for commodities trading and finance☆36Updated 4 months ago
- The code used for the free quants@dev Webinar series on Reinforcement Learning in Finance☆104Updated 3 years ago
- ☆31Updated 4 months ago
- A curated list of resources dedicated to Deep Hedging☆86Updated 2 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆22Updated 6 years ago
- This repository contains the code for the O'Reilly book Reinforcement Learning for Finance.☆66Updated 6 months ago