sydx / xpcaLinks
Implementations of extended PCA methods, such as IPCA and EWMPCA
☆15Updated 3 years ago
Alternatives and similar repositories for xpca
Users that are interested in xpca are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- ☆50Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆19Updated 9 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆82Updated 3 months ago
- ☆27Updated last week
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- ☆49Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- ☆67Updated last week
- Replication of https://ssrn.com/abstract=3984925☆38Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- ☆20Updated 4 months ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- ☆27Updated last month
- Fama-French models, idiosyncratic volatility, event study☆32Updated 2 years ago