niknow / backtesting-decorrelatedLinks
Illustration of the decorrelation method to perform backtesting on correlated data.
☆20Updated last year
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 this week
- 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
- 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 10 months ago
- Python library for asset pricing☆128Updated last year
- This collects the scripts and notebooks required to reproduce my published work.☆49Updated this week
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 2 weeks ago
- ☆26Updated 10 months ago
- Risk tools for commodities trading and finance☆37Updated this week
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆97Updated 5 months ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- Financial Portfolio Optimization Algorithms☆59Updated 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
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 years ago
- ☆80Updated 4 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆145Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆49Updated 3 months ago
- ☆34Updated 7 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆87Updated last year
- Algo Trading Research & Documentation☆30Updated 6 months ago
- ☆73Updated last year
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆285Updated last week
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆30Updated 2 years ago
- Dr Paul Bilokon's MSc at the University of Oxford: Bayesian methods for solving estimation and forecasting problems in the high-frequency…☆24Updated last year
- ☆61Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Resources for the AI in Finance Workshop at Texas State University (October 2023).☆53Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- ☆18Updated 2 years ago