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alpha_avellaneda_stoikov

Phd repo

avoiding_bubbles

brazilinflationpredict

Web Crawling, Feature Engineering, Neural Networks

corrgan

data-analysis

Data Science Using Python

echostatenetwork

efficient_frontier

Markowitz portfolio optimisation (efficient frontier) in Python

eigen-portfolio

Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks to construct an optimized diversified intelligent portfolio.

eigenportfolios

In this project, we will explore the usage of Principal Component Analysis to model market behavior within an industry. Furthermore, we will explore the interpretation of top eigenvectors as portfolios to create trading strategies.

finance_ml

Advances in Financial Machine Learning

finlab

fractional-differentiation-time-series

As described in Advances of Machine Learning by Marcos Prado

hiddenmarkovmodel

Code for the Hidden Markov Model Tutorial Series

hiddenmarkovmodel_pytorch

Pytorch: Viterbi, Forward-Backward and Baum Welch with a Hidden Markov Model (HMM)

implied-volatility-modelling

With real market data using Black Scholes and Brentq

kalman-filters

Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, containing statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, one of the primary developers of its theory.

kernel-adaptive-filtering-in-python

Implementation of LMS, RLS, KLMS and KRLS filters in Python

lppls

Library for fitting the LPPLS model to data.

machine-learning-with-python

Python code for common Machine Learning Algorithms

microprice

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.

neural-networks

Implemented Convolutional Neural Network, LSTM Neural Network, and Neural Network From Scratch in Python Language.

one-shot-learning-with-siamese-networks

Implementation of One Shot Learning using Convolutional Siamese Networks on Omniglot Dataset

portfolio-optimization-using-genetic-algorithm

Portfolio optimization using Genetic algorithm.

pypbo

Probability of Backtest Overfitting in Python

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier and advanced methods.

pyrb

Constrained and Unconstrained Risk budgeting / risk parity allocation in Python

pyrmt

Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.

pythoncode-tutorials

The Python Code Tutorials

q-fin

A Python library for mathematical finance