Pinned Repositories
-theanh97Statistical-Arbitrage-Bayesian-Optimized-Kappa-Half-life-Pairs-Trading-Engine
This project implements an advanced pairs trading strategy using statistical arbitrage techniques. It leverages Bayesian optimization to fine-tune Kappa and Half-life parameters, enhancing the mean-reversion trading approach. The system includes comprehensive backtesting, risk management, and performance analysis tools.
Chamkang6093-Delta-CoVaR_Estimation
Mainly analyzed and implemented the methods of estimating Delta-CoVaR using Python3.
Chamkang6093-Levy-ARMA-GARCH_Risk_Model
Mainly modeled asset returns with ARMA-GARCH model and convolution-closed distributions, e.g., Generalized Hyperbolic or Normal Inverse Gaussian, to get 1-step forecasted p.d.f.s of returns.
CrisperX-50_WorldQuant_Alpha_Examples_for_Alphathon
This is an example of 50 alphas that can pass the correlation test if they are submitted together.
gitee-yunjinqi-backtrader
gs-quant
Python toolkit for quantitative finance
kai-trading-bot-pair
WhaleQuant
本项目为量化开源课程,可以帮助人们快速掌握量化金融知识以及使用Python进行量化开发的能力。
wukan1986-alpha_examples
alpha投研示例
jingmouren's Repositories
jingmouren/ZP1481616577-Baselines_LSR-IGRU
jingmouren/joelowj-unified_mom_mmoe
jingmouren/joelowj-mtl-tsmom
Multi Task Learning Time Series Momentum
jingmouren/koa-fin-sep
Code release for "Learning to Generate Explainable Stock Predictions using Self-Reflective Large Language Models" https://arxiv.org/abs/2402.03659
jingmouren/saf92-stock-returns
jingmouren/jolars-sortedl1
Python package for Sorted L-One Penalized Estimation (SLOPE)
jingmouren/OpportunityInsights-EconomicTracker
Download data from the Opportunity Insights Economic Tracker — https://tracktherecovery.org/
jingmouren/ishitamehta028-LSTM-Portfolio-Optimization-using-Gerber-Estimator
A hybrid model incorporating ML and statistical methods to optimize the portfolio using a Long Short Term Memory (LSTM) network and a covariance matrix based on the Gerber statistic. It estimates the return prices and consequently constructs a Gerber estimator covariance matrix.
jingmouren/jolars-libslope
C++ library for Sorted L-One Penalized Estimation (SLOPE)
jingmouren/zhanghy-sketchzh-FinAgent
An open source tool for analysing financial data built on a large model. The project aims to help financial enthusiasts easily perform a variety of financial data analysis tasks, including market trend analysis, portfolio optimisation, risk management and so on.
jingmouren/linyizun2024-ASMCVaR
jingmouren/zyh-pku-Reinforcement-Learning-and-Market-Making
jingmouren/geatpy
Evolutionary algorithm toolbox and framework with high performance for Python
jingmouren/zhenyuhe00-BiPE
Two Stones Hit One Bird: Bilevel Positional Encoding for Better Length Extrapolation
jingmouren/wrcarpenter-BDT-Model
Implementing a Black-Derman-Toy interest rate model.
jingmouren/auto-differentiation-QuantLib-Risks-Py
Fast Risks with QuantLib in Python
jingmouren/wrcarpenter-Interest-Rate-Models
Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.
jingmouren/auto-differentiation-QuantLib-Risks-Cpp
Fast risks with QuantLib in C++
jingmouren/cristianoarbex-portfolioSimulationData
Data used in the paper "Portfolio optimisation: bridging the gap between theory and practice"
jingmouren/cristianoarbex-subsetSSDData
Data used in the paper "A SSD approach to enhanced indexation with sector constraints"
jingmouren/schmalwb-topic_model_time_seriestopic_model_time_series
Code file for: "Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide"
jingmouren/Sha-fiq-AbduSupertrend-Strategy
jingmouren/Yizhan-Oliver-Shu-jump-models
jingmouren/PyPatel-Options-Trading-Strategies-in-Python
Developing Options Trading Strategies using Technical Indicators and Quantitative Methods
jingmouren/LechGrzelak-QuantFinanceBook
Quantitative Finance book
jingmouren/jkcost-Deepclair
jingmouren/leiyu0210-FinLangNet
jingmouren/wrcarpenter-Z-Spread
Python methods for bootstrapping a spot rate curve from Treasury data and calculating Z-spread for fixed income bonds.
jingmouren/deep-spin-entmax
The entmax mapping and its loss, a family of sparse softmax alternatives.
jingmouren/Menooker-KunQuant
A compiler, optimizer and executor for financial expressions and factors