Pinned Repositories
bipartite
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
fingraph
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
riskparity.py
Fast and scalable construction of risk parity portfolios
riskparity.rs
Implementations of risk parity portfolios in Rust
spectralGraphTopology
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
lad
Least absolute deviations with L1 regularization using majorization-minimization in Tensorflow, R, and Julia
lincon
a quadratic programming solver with support for linear equality and inequality constraints
riskparity.py
fast and scalable design of risk parity portfolios.
sparseGraph
Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)
transit-periodogram
The functionality in this repo is outdated, please use https://github.com/dfm/bls.py instead.
mirca's Repositories
mirca/lincon
a quadratic programming solver with support for linear equality and inequality constraints
mirca/riskparity.py
fast and scalable design of risk parity portfolios.
mirca/bipartite
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
mirca/fingraph
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
mirca/kelly-regression
kelly regression models done fast
mirca/spectralGraphTopology
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
mirca/advent-of-code
my solutions to aoc in ocaml
mirca/ArcticDB
mirca/checkthechain
ctc is a tool for collecting and analyzing historical data of Ethereum and other EVM chains
mirca/Clarabel.rs
Clarabel.rs: Interior-point solver for convex conic optimisation problems in Rust.
mirca/elasticnet.py
fit elastic net and lasso very fast
mirca/FSharp.Stats
statistical testing, linear algebra, machine learning, fitting and signal processing in F#
mirca/funq
Source files for "Fun Q: A Functional Introduction to Machine Learning in Q"
mirca/george
Fast and flexible Gaussian Process regression in Python
mirca/graphgraph.py
Learning Laplacian Markov random fields in Python
mirca/highOrderPortfolios
Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
mirca/IsotoneRpkg
R package for general isotone optimization
mirca/lightkurve
A friendly package for Kepler & TESS time series analysis in Python.
mirca/mirca
mirca/mirca.github.io
A beautiful, simple, clean, and responsive Jekyll theme for academics
mirca/MTP2-finance
MTP2 for covariance estimation in financial data
mirca/ocaml-csv
CSV library for OCaml
mirca/ocaml-torch
OCaml bindings for PyTorch
mirca/openastronomy.github.io
The web site for the Open Astronomy effort.
mirca/rfinance-talk
my talk for rfinance 2023
mirca/riskparity.rs
Implementations of risk parity portfolios in Rust
mirca/riskParityPortfolio
Fast design of risk parity portfolios
mirca/scikit-learn
scikit-learn: machine learning in Python
mirca/simulator
Tool to support backtests
mirca/tinygp
The tiniest of Gaussian Process libraries