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

• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• mgroncki / DataScienceNotebooks
  Tutorials about Machine Learning and Deep Learning
  ☆30Updated 6 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 5 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• Bobbakov / orderGenerator
  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
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆57Updated 2 years ago
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• AlexIoannides / pymc-stochastic-process
  Bayesian Inference and parameter estimation in quant finance.
  ☆42Updated 6 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• mfrdixon / alpha-RNN
  alpha-RNN
  ☆30Updated 5 years ago
• coorung / Finance-World
  Optimization techniques on the financial area for the hedging, investment starategies, and risk measures
  ☆42Updated 5 years ago
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• druce / Machine-learning-for-financial-market-prediction
  Machine Learning for Financial Market Prediction
  ☆59Updated 6 years ago
• hongwai1920 / Implement-Option-Pricing-Model-using-Python
  Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…
  ☆31Updated 4 years ago
• vsmolyakov / fin
  finance
  ☆43Updated 8 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• Apress / implementing-machine-learning-finance
  Source Code for 'Implementing Machine Learning for Finance' by Tshepo Chris Nokeri
  ☆33Updated 4 years ago
• cswaney / prickle
  A Python toolkit for high-frequency trade research.
  ☆42Updated 7 years ago
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated 10 months ago
• differential-machine-learning / notebooks
  Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…
  ☆144Updated 2 years ago
• RJT1990 / Active-Portfolio-Management-Notes
  Notes for Active Portfolio Management, by Grinold and Kahn
  ☆46Updated 9 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• Quiota / tensorflow
  ☆10Updated 8 years ago
• BlackArbsCEO / synthetic_time_series
  ☆27Updated 6 years ago