Pinned Repositories
538model
538 Election Forecasting Model
ActivityStatistics
Digest flat file of web activity data and run analyitics against the data set
AdaBoost
Small and easy C++ AdaBoost Implementation
adaboost-1
AlphaTrading
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
anticor
Anticorrelation Trading Strategy
argparse
A slimline C++ class for parsing command-line arguments, with an interface similar to python's class of the same name
portfolio-picker
a stock portfolio optimizer using modern portfolio theory
sparse
The effects of sparse and group-feature regression models in portfolio optimization.
smhjn's Repositories
smhjn/AlphaTrading
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
smhjn/awesome-static-analysis
A curated list of static analysis tools, linters and code quality checkers for various programming languages
smhjn/condor-1
Some scripts for common production tasks on Condor
smhjn/Condor-Tools
A python script to avoid .sub description file to start job on HTCondor cluster
smhjn/condorutils
smhjn/cvxFin
Portfoliooptimization and Regression using cvxopt
smhjn/DSPFilters
A Collection of Useful C++ Classes for Digital Signal Processing
smhjn/easykf
C++ Kalman filtering (Extended Kalman Filter, Unscented Kalman Filter)
smhjn/EigenPCA
A class for performing principal component analysis using Eigen library
smhjn/FinancialOptimization
financial optimization models in Matlab using cvxopt
smhjn/heuristics
a tabu heuristic
smhjn/imbox
Python IMAP for Human beings
smhjn/investment
My Fiddling with Investment Strategies and tools for tracking my own Portfolio.
smhjn/kalman
Header-only C++11 Kalman Filtering Library (EKF, UKF) based on Eigen3
smhjn/KalmanFilter-for-Arduino
Simple Kalman filter library for Arduino
smhjn/markdown-here
Google Chrome, Firefox, and Thunderbird extension that lets you write email in Markdown and render it before sending.
smhjn/Momentum-BayesianPortfolio
Momentum Strategy with Bayesian Portfolio Allocation
smhjn/olpsR
Functions and algorithms for On-line Portfolio Selection with R
smhjn/paramiko-expect
A Python expect-like extension for the Paramiko SSH library which also supports tailing logs.
smhjn/Polyopt.jl
Julia package for polynomial optimization using semidefinite optimization.
smhjn/portfolioopt
Financial Portfolio Optimization Routines in Python
smhjn/production
Holds crab, condor, and python configs used for production. Each branch corresponds to the production run.
smhjn/pyfolio
Portfolio and risk analytics in Python
smhjn/python2-cvxopt
smhjn/python2-cvxopt-dsdp
smhjn/r4nd0m
smhjn/sharpefolio
Stock portfolio optimizer in Python based on least correlated moving sharpe / sortino ratios.
smhjn/smhjn.github.io
smhjn/SNR
Computing signal-to-noise ratio of dedispersed and folded time series.
smhjn/universal-portfolios
Collection of algorithms for online portfolio selection