roprisor / alphamodelLinks
Alpha model skeletons & examples
☆12Updated last year
Alternatives and similar repositories for alphamodel
Users that are interested in alphamodel are comparing it to the libraries listed below
Sorting:
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 6 years ago
- Quant finance scripts☆16Updated 4 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆15Updated 7 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- ☆10Updated 8 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Python Code used in publications, for archival purposes only☆20Updated 2 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆10Updated 2 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Dynamic lead/lag inference for time series☆17Updated 6 years ago
- ☆27Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- A repository for portfolio allocation based on embedding data representation☆11Updated 7 months ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- Underlying package for the 10-line cta☆12Updated this week
- The code for Fuzzy Investment Counselor (FIC) and Markowitz portfolio theory for stock investment☆14Updated 4 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Updated 6 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆12Updated last year
- ☆19Updated 5 years ago
- ☆22Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 9 months ago