philipperemy / fractional-differentiation-time-series

Related projects ⓘ

Alternatives and complementary repositories for fractional-differentiation-time-series

• BlackArbsCEO / mixture_model_trading_public
  ☆193Updated 4 years ago
• esvhd / pypbo
  Probability of Backtest Overfitting in Python
  ☆116Updated last year
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆55Updated last year
• rubenbriones / Probabilistic-Sharpe-Ratio
  Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)
  ☆122Updated 4 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆76Updated last year
• philipperemy / lead-lag
  Estimation of the lead-lag parameter from non-synchronous data.
  ☆114Updated 6 months ago
• convergenceIM / alpha-scientist
  ☆70Updated 2 years ago
• zcakhaa / Multi-Horizon-Forecasting-for-Limit-Order-Books
  ☆187Updated last year
• pnecchi / Thesis
  Reinforcement Learning for Automated Trading
  ☆85Updated 7 years ago
• rspadim / Adv_Fin_ML
  Advances in Financial Machine Learning by Marcos Lopez De Prado
  ☆53Updated 5 years ago
• ritchieng / fractional_differencing_gpu
  Rapid large-scale fractional differencing with NVIDIA RAPIDS and GPU to minimize memory loss while making a time series stationary. 6x-40…
  ☆55Updated 5 years ago
• maxlamberti / time-series-momentum
  🚂💨 Deep Momentum Networks for Time Series Strategies
  ☆106Updated 4 years ago
• jsg71 / Deep-Hedging
  ☆149Updated 4 years ago
• convexfi / riskparity.py
  Fast and scalable construction of risk parity portfolios
  ☆289Updated 5 months ago
• Jackal08 / financial-data-structures
  Depricated repo. Please refer to mlfinlab
  ☆113Updated 4 years ago
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 6 years ago
• cuemacro / tcapy
  Open source TCA (transaction cost analysis) Python library for FX spot
  ☆233Updated 9 months ago
• cvxgrp / cov_pred_finance
  ☆59Updated last week
• fracdiff / fracdiff
  Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial…
  ☆295Updated 11 months ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆58Updated last year
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆81Updated 3 years ago
• wangy8989 / Pairs-Trading-with-Machine-Learning
  Pair Trading Strategy using Machine Learning written in Python
  ☆112Updated 2 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆115Updated 6 years ago
• jwallbridge / translob
  Transformers for limit order books
  ☆100Updated 4 years ago
• tcloaa / Deep-Portfolio-Theory
  Autoencoder framework for portfolio selection (paper published by J. B. Heaton, N. G. Polson, J. H. Witte.)
  ☆129Updated 4 years ago
• sam31415 / timeseriescv
  Scikit-learn style cross-validation classes for time series data
  ☆273Updated 2 years ago
• Rachnog / Reinforcement-Learning-in-Finance
  Materials for blogs and conferences
  ☆67Updated 3 years ago