sydx / xpcaLinks
Implementations of extended PCA methods, such as IPCA and EWMPCA
☆15Updated 4 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☆71Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆128Updated 5 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Python library for asset pricing☆125Updated last year
- To classify trades into buyer- and seller-initiated.☆154Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆96Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated 2 months ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated 3 months ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆88Updated 6 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- ☆50Updated 2 years ago
- Probability of Backtest Overfitting in Python☆128Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- ☆53Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 2 months ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- ☆142Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 9 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- ☆34Updated 6 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 7 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated last year
- The model focuses on predicting the impact of trading activities on stock prices using order flow imbalance, trading volume and price cha…☆34Updated last year
- ☆24Updated 3 years ago