niknow / backtesting-decorrelatedLinks
Illustration of the decorrelation method to perform backtesting on correlated data.
☆19Updated 9 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☆41Updated 7 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 10 months ago
- This collects the scripts and notebooks required to reproduce my published work.☆48Updated last week
- 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 4 months ago
- ☆73Updated 3 years ago
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆81Updated last month
- Financial Portfolio Optimization Algorithms☆58Updated last year
- ☆48Updated 10 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- Python library for asset pricing☆117Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- ☆21Updated 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…☆40Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆48Updated 4 years ago
- Fast Risks with QuantLib in Python☆15Updated last year
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- Quantitative finance research notebooks☆21Updated 5 years ago
- My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.☆34Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆80Updated 8 months ago
- ☆25Updated 5 months ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆36Updated 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
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆88Updated 5 months ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆52Updated 2 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆19Updated last year
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year