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☆69Updated last year
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆127Updated 5 years ago
- Time Series Prediction of Volume in LOB☆58Updated last year
- Code that I show on my YouTube Channel☆104Updated 2 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆87Updated 4 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 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 to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- ☆50Updated 5 years ago
- ☆141Updated 2 years ago
- Implementation of Lo and MacKinlay's statistical tests from A Non Random Walk Down Wall Street☆13Updated last month
- ☆53Updated 4 years ago
- ☆82Updated 3 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Python library for asset pricing☆120Updated last year
- ☆50Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- To classify trades into buyer- and seller-initiated.☆153Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆187Updated 2 months ago
- Research Repo (Archive)☆75Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆50Updated last year
- ☆20Updated 9 months ago
- ☆47Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 10 months ago
- ☆68Updated 5 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated last month
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago