Pinned Repositories
backtesting
Equity portfolio backtesting prototype, with an emphasis on computational efficiency
combining_alpha_signals
Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed by Marcos Lopez de Prado in Advances in Financial Machine Learning
factor_model
Production ready prototype factor model, alpha factors based on hypothesis proposed in the paper Overnight Returns and Firm-Specific Investor Sentiment by David Aboody et al
nlp_10k_statements
Text based stock selection model originally described in the paper Lazy Prices by Lauren Cohen et al
tstables
A fork of afiedler/tstables to remove a bug with pandas >=0.20
keniba's Repositories
keniba/combining_alpha_signals
Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed by Marcos Lopez de Prado in Advances in Financial Machine Learning
keniba/factor_model
Production ready prototype factor model, alpha factors based on hypothesis proposed in the paper Overnight Returns and Firm-Specific Investor Sentiment by David Aboody et al
keniba/nlp_10k_statements
Text based stock selection model originally described in the paper Lazy Prices by Lauren Cohen et al
keniba/backtesting
Equity portfolio backtesting prototype, with an emphasis on computational efficiency
keniba/tstables
A fork of afiedler/tstables to remove a bug with pandas >=0.20