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alphalens

Performance analysis of predictive (alpha) stock factors

arbitragelab

ArbitrageLab is a python library that enables traders who want to exploit mean-reverting portfolios by providing a complete set of algorithms from the best academic journals.

bayesalpha

Bayesian models to compute performance and uncertainty of returns and alpha.

binance-lob-recorder

Binance Limit Order Book Recorder

deeptime

Python library for analysis of time series data including dimensionality reduction, clustering, and Markov model estimation

dowhy

DoWhy is a Python library for causal inference

econml

ALICE (Automated Learning and Intelligence for Causation and Economics)

finance_ml

Advances in Financial Machine Learning

fingraph

Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)

gs-quantitative-strategies-research-notes

Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)

kalman-and-bayesian-filters-in-python

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.

kfas

KFAS: R Package for Exponential Family State Space Models

machine-learning-asset-management

Machine Learning in Asset Management (by @firmai)

machine-learning-for-asset-managers

Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.

mlfinlab

MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

optimal-portfolio-transactions

We consider the execution of portfolio transactions with the aim of minimizing a combination of risk and transaction costs arising from permanent and temporary market impact. As an example, assume that you have a certain number of stocks that you want to sell within a given time frame. If you place this sell order directly to the market as it is, t

pybitev

Python3 Asyncio API connector for Bybit's HTTP and Websockets APIs.

shap

A game theoretic approach to explain the output of any machine learning model.

sherlock

🔎 Hunt down social media accounts by username across social networks

simulator

Tool to support backtests

sktime

A unified framework for machine learning with time series

spectralgraphtopology

tseries-patterns

trend / momentum and other patterns in financial timeseries

universal-portfolios

Collection of algorithms for online portfolio selection

voyager

An Open-Ended Embodied Agent with Large Language Models