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-400x speed up over CPU implementation.
☆56Updated 5 years ago
Alternatives and similar repositories for fractional_differencing_gpu:
Users that are interested in fractional_differencing_gpu are comparing it to the libraries listed below
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- WATTNet: Learning to Trade FX with Hierarchical Spatio-Temporal Representations of Highly Multivariate Time Series☆73Updated 4 years ago
- Materials for blogs and conferences☆68Updated 3 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- As described in Advances of Machine Learning by Marcos Prado.☆119Updated 2 years ago
- Demo for the application of RL to non-stationary effects☆45Updated 4 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- ☆33Updated last year
- ☆27Updated 6 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- My approaches to Financial Forecasting Challenge by G-Research☆43Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 3 years ago
- Time-Series Cross-Validation Module☆44Updated 3 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆110Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Implementation of AFML Book☆21Updated 5 years ago
- WaveNet model applied to intra-day Bitcoin exchange forcasting☆54Updated 6 years ago
- ☆193Updated 4 years ago
- An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization☆33Updated 2 years ago
- ☆10Updated 7 years ago
- Scikit-learn style cross-validation classes for time series data☆278Updated 3 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 7 years ago
- Skillset Challenge for the Apprenticeship Program☆20Updated 3 years ago
- finance☆43Updated 7 years ago
- archiving old code☆26Updated 7 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆36Updated 8 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- Depricated repo. Please refer to mlfinlab☆113Updated 5 years ago