Alternatives and similar repositories for ml-and-the-implementable-efficient-frontier

Users that are interested in ml-and-the-implementable-efficient-frontier are comparing it to the libraries listed below

• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• oledoit / covShrinkage
  A Package for Shrinkage Estimation of Covariance Matrices
  ☆16Updated last year
• GiulioRossetti94 / PyBondLab
  ☆27Updated last month
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆38Updated last year
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• cosimoizzo / DDFM
  Deep Dynamic Factor Models
  ☆21Updated last year
• wahido / neural_locVol
  ☆14Updated 3 years ago
• SakethAleti / ECON-690-HighFrequencyEconometrics
  Code and documents from Econ 690 at Duke
  ☆9Updated 3 years ago
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆21Updated last year
• cvxgrp / cov_pred_finance
  ☆67Updated last week
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆15Updated 4 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆39Updated 4 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆34Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆75Updated 5 months ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• ZhangZhiHu / assetPricing
  ☆23Updated 7 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆70Updated 2 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• leeway00 / Asset-Pricing-via-ML
  Empirical asset pricing via Machine Learning in the Korean market
  ☆38Updated last year
• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 9 months ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆62Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• HoagieT / Factor-Augmented-Vector-Autoregression
  An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…
  ☆15Updated 4 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 3 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 3 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …
  ☆10Updated 2 years ago