pjgranahan / qfrmLinks
Python tools to quantitatively manage financial risk
☆69Updated 6 years ago
Alternatives and similar repositories for qfrm
Users that are interested in qfrm are comparing it to the libraries listed below
Sorting:
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆123Updated 4 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆168Updated 7 years ago
- portfolio construction and quantitative analysis☆144Updated 10 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 5 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆247Updated last year
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Python based Quant Finance Models, Tools and Algorithmic Decision Making☆46Updated 8 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆32Updated 5 years ago
- ☆196Updated 5 years ago
- Repository for teachings on Quant Finance☆49Updated 6 years ago
- QuantInsti EPAT: Final Project on Statistical Arbitrage☆117Updated 8 years ago
- ☆106Updated 8 years ago
- Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.☆137Updated 6 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆44Updated 7 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆158Updated 3 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Python Financial ENGineering (PyFENG package in PyPI.org)☆175Updated 2 months ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆129Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Performance Anayltics for Investment Portfolios☆48Updated 5 years ago