roprisor / alphamodel
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
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Quant finance scripts☆15Updated 4 years ago
- ☆10Updated 7 years ago
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 6 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 10 months ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆20Updated last year
- ☆19Updated 4 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆17Updated last year
- Markov decision processes under model uncertainty☆14Updated 2 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
- Code to support my Master's thesis☆19Updated last year
- ☆13Updated 5 years ago
- Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network☆14Updated last month
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- Hawkes with Latency☆20Updated 4 years ago
- Python Code used in publications, for archival purposes only☆20Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- ☆19Updated 6 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- ☆10Updated 2 years ago
- ☆26Updated 7 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 4 years ago