Alternatives and similar repositories for pyhrp

Users that are interested in pyhrp are comparing it to the libraries listed below

• cvxgrp / cov_pred_finance
  ☆65Updated 2 weeks ago
• cvxgrp / cvxstatarb
  ☆27Updated 2 weeks ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 7 months ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• cvxgrp / simulator
  Tool to support backtests
  ☆44Updated this week
• tschm / cs
  my talk for credit suisse
  ☆38Updated this week
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆70Updated 4 months ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆41Updated 2 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆23Updated 7 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆38Updated 4 months ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated last year
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 7 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 6 months ago
• mfrdixon / G-Learning-Wealth-Management
  ☆23Updated 3 years ago
• andreybabynin / HRP
  Hierarchical Risk Parity
  ☆28Updated 5 years ago
• Farmhouse121 / Wilmott-Articles
  This contains notebooks and scripts used to support my writing in WILMOTT Magazine.
  ☆17Updated last year
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• ArturSepp / OptimalPortfolios
  Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python
  ☆45Updated last week
• nathanramoscfa / pyfinlab-legacy
  Financial applications focusing on portfolio management for Python
  ☆16Updated 2 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆29Updated 9 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆61Updated last year
• Dekalog / Data-Snooping-Tests
  Code for various data snooping tests on financial time series.
  ☆18Updated 10 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆13Updated 3 years ago
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 3 years ago
• cvxgrp / cvxmarkowitz
  ☆26Updated last week
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆54Updated 2 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated last month
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆81Updated 2 years ago