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:
- ☆53Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆36Updated 6 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆36Updated 3 years ago
- Non-Linear Covariance Shrinkage☆14Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆93Updated 4 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆32Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 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…☆50Updated 11 months ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 9 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆90Updated 4 years ago
- A Higher-order HMM with EM algo.☆16Updated 3 years ago
- Probability of Backtest Overfitting in Python☆129Updated 2 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- ☆24Updated 5 years ago
- ☆55Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆59Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆67Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 7 months ago