yinsenm / gerberLinks
Gerber robust statistics for portfolio optimization
☆62Updated 3 years ago
Alternatives and similar repositories for gerber
Users that are interested in gerber are comparing it to the libraries listed below
Sorting:
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆43Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- ☆53Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- This repository hosts my reading notes for academic papers.☆91Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 10 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆70Updated 6 months ago
- Custom Loss functions for asset return prediction with deep learning regression☆36Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Probability of Backtest Overfitting in Python☆127Updated 2 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆48Updated 2 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 8 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆98Updated last year
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆130Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Official Implementation of SimStock : Representation Model for Stock Similarities☆86Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- ☆22Updated last year
- Risk estimation algorithms☆30Updated 7 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago