ptuls / multiarm_kelly_portfolioLinks
Simulating the combination of multiarm bandits with the Kelly criterion for portfolio allocation
☆28Updated 2 years ago
Alternatives and similar repositories for multiarm_kelly_portfolio
Users that are interested in multiarm_kelly_portfolio are comparing it to the libraries listed below
Sorting:
- finance☆43Updated 8 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆74Updated 5 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆37Updated 8 years ago
- Deep learning for forecasting company fundamental data☆141Updated 6 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆94Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- Hawkes Process Estimation☆52Updated 11 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 4 years ago
- Machine Learning for Financial Market Prediction☆59Updated 6 years ago
- ☆27Updated 6 years ago
- Skillset Challenge for the Apprenticeship Program, June 2021.☆10Updated 3 years ago
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Machine Learning Algo using Knearest Neighbors model on VXX trading strategy.☆15Updated 9 years ago
- Embedding stocks to vectors based on the price history☆64Updated 9 years ago
- Implementation of AFML Book☆21Updated 6 years ago
- As described in Advances of Machine Learning by Marcos Prado.☆121Updated 2 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 5 months ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- Unsupervised Learning to Market Behavior Forecasting Example☆41Updated 5 years ago
- ☆33Updated 2 years ago
- Calculates the generalized Hurst exponent of a time series☆40Updated last year
- ☆195Updated 5 years ago