ssanderson / convex-optimization-for-financeLinks
Talk Materials for "Convex Optimization for Finance"
☆29Updated 2 years ago
Alternatives and similar repositories for convex-optimization-for-finance
Users that are interested in convex-optimization-for-finance are comparing it to the libraries listed below
Sorting:
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Bayesian Inference and parameter estimation in quant finance.☆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…☆30Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- finance☆43Updated 8 years ago
- Quant finance scripts☆16Updated 6 months ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- alpha-RNN☆30Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- ☆27Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Machine Learning for Financial Market Prediction☆59Updated 6 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆111Updated 2 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆73Updated 5 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆94Updated 3 years ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- ☆10Updated 8 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year