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☆63Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Python library for asset pricing☆116Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆167Updated last month
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 4 years ago
- To classify trades into buyer- and seller-initiated.☆145Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- ☆50Updated 4 years ago
- Code that I show on my YouTube Channel☆101Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street☆13Updated 2 years ago
- ☆82Updated 2 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆84Updated 2 weeks ago
- Instrumented Principal Components Analysis☆228Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆140Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Macrosynergy Quant Research☆147Updated this week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago