tianyu-z / Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_OptimizationLinks
Capstone Research Project in NYU Courant
☆10Updated 6 years ago
Alternatives and similar repositories for Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_Optimization
Users that are interested in Tactical_Asset_Allocation_with_Ensemble_Learning_Using_Walk_forward_Optimization are comparing it to the libraries listed below
Sorting:
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆15Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Updated 7 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆28Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- Financial applications focusing on portfolio management for Python☆16Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 5 years ago
- ☆52Updated 2 years ago
- ☆24Updated 6 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆89Updated 3 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Calibration and pricing options in Heston model☆14Updated 8 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- quantitative asset allocation strategy☆35Updated last year