wilsonfreitas / AFML
Code implementations of my studies on the book Advances in Financial Machine Learning
☆12Updated 4 years ago
Alternatives and similar repositories for AFML:
Users that are interested in AFML are comparing it to the libraries listed below
- Quantitative finance research notebooks☆18Updated 4 years ago
- By means of stochastic volatility models☆42Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆37Updated this week
- ☆19Updated 4 years ago
- ☆13Updated last year
- Package to build risk model for factor pricing model☆24Updated 5 months ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Learn how to research fundamental factors using Pipeline, Alphalens, and Sharadar price and fundamental data.☆10Updated 8 months ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- This repo is for my articles published on Medium.com☆15Updated last year
- Time Series Prediction of Volume in LOB☆55Updated 9 months ago
- ☆17Updated 4 years ago
- ☆16Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 8 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 4 years ago
- ☆27Updated 5 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated 2 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- ☆57Updated last year