matthewfieger

matthewfieger's Stars

• KingLear194/BlackLittermanEnd2End

  Code for the project Black-Litterman end to end

  Language:Python81

• OpenSourceAP/CrossSection

  Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

  Language:Stata720215

• Musonda2day/Asset-Portfolio-Management-usingDeep-Reinforcement-Learning-

  This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep Reinforcement Learning (DRL). The work presented explores the use of Deep Reinforcement Learning in dynamically allocating assets in a portfolio in order to solve the Tactical Asset Allocation (TAA) problem.

  Language:Jupyter Notebook7135

• sktime/pytorch-forecasting

  Time series forecasting with PyTorch

  Language:Python3.9k621

• firmai/machine-learning-asset-management

  Machine Learning in Asset Management (by @firmai)

  Language:Jupyter Notebook1.7k459

• differential-machine-learning/notebooks

  Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

  Language:Jupyter Notebook13651

• SenPei-CU/COVID-19

  3114

• wilsonfreitas/awesome-quant

  A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

  Language:Python17.8k2.6k

• cbailes/awesome-deep-trading

  List of awesome resources for machine learning-based algorithmic trading

  1.5k305

• ZhengyaoJiang/PGPortfolio

  PGPortfolio: Policy Gradient Portfolio, the source code of "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem"(https://arxiv.org/pdf/1706.10059.pdf).

  Language:Python1.7k749

• jax-ml/jax

  Composable transformations of Python+NumPy programs: differentiate, vectorize, JIT to GPU/TPU, and more

  Language:Python30.1k2.8k

• wwrechard/pydlm

  A python library for Bayesian time series modeling

  Language:Python47598

• RJT1990/pyflux

  Open source time series library for Python

  Language:Python2.1k240

• VivekPa/OptimalPortfolio

  An open source library for portfolio optimisation

  Language:Python35492

• robertmartin8/PyPortfolioOpt

  Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

  Language:Jupyter Notebook4.4k950

• EliteQuant/EliteQuant

  A list of online resources for quantitative modeling, trading, portfolio management

  2.9k571

• cantaro86/Financial-Models-Numerical-Methods

  Collection of notebooks about quantitative finance, with interactive python code.

  Language:Jupyter Notebook5.6k1k

• pyro-ppl/numpyro

  Probabilistic programming with NumPy powered by JAX for autograd and JIT compilation to GPU/TPU/CPU.

  Language:Python2.1k235

• josdejong/mathjs

  An extensive math library for JavaScript and Node.js

  Language:JavaScript14.4k1.2k

• JimVaranelli/KPSS-autolag

  KPSS autolag method of Hobijn et al. (1998)

  Language:Python1

• JimVaranelli/WhiteSpec

  Python implementation of White's specification test

  Language:Python1

• JimVaranelli/ZAUnitRoot

  Zivot-Andrews structiral-break unit-root test

  Language:Python54

• TDAmeritrade/stumpy

  STUMPY is a powerful and scalable Python library for modern time series analysis

  Language:Python3.6k317

• JimVaranelli/Leybourne-McCabe

  Python implementation of Leybourne-McCabe stationarity test

  Language:Python1

• OWASP/CheatSheetSeries

  The OWASP Cheat Sheet Series was created to provide a concise collection of high value information on specific application security topics.

  Language:Python27.8k3.9k

• plotly/plotly.js

  Open-source JavaScript charting library behind Plotly and Dash

  Language:JavaScript16.9k1.9k

• blue-yonder/tsfresh

  Automatic extraction of relevant features from time series:

  Language:Jupyter Notebook8.4k1.2k

• dfm/corner.py

  Make some beautiful corner plots

  Language:Python514228

• HIPS/autograd

  Efficiently computes derivatives of NumPy code.

  Language:Python7k909

• Jianbo-Lab/CCM

  Language:Python7422