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accelerating-dual-momentum

Python implementation of Antonacci's GEM ("Global Equities Momentum") strategy

ace-versus-ace

MLB Statcast has performance data from every play at the major league level. I make a a head-to-head comparison of this data for Gerrit Cole and Jacob deGrom including hypothesis testing.

adv-financial-ml-marcos-exercises

Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado

adv_fin_ml_exercises

Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]

afml

All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.

algo_trading

algorithmic-trading

Quantitative Momentum Investing& Quantitative Value Investing Strategies

algorithmic-trading-with-python

A library of quantiative algorithms for algorithmic trading implemented with Python

algorithmictrading

ML Application of Algorithmic Trading

appliedtimeseriesforecastinginpython

Repository with data, starter notebooks, and solution notebooks for my course Applied Time Series Forecasting in Python

backtesting-strategies

Backtesting Strategies using backtesting.py and TA-Lib

bayesian-stats-modelling-tutorial

How to do Bayesian statistical modelling using numpy and PyMC3

bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.

betting-against-beta

This project is based on the paper: Frazzini, A. & Pedersen, L. (2014). "Betting Against Beta."

blog

Source code for my personal blog

btsa

Berlin Time Series Analysis Repository

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

copula_pairs_project

This is a project that includes functions/class that implement a partner selection procedure that can be used in a trading strategy with Vine Copulas.

copulas

A library to model multivariate data using copulas.

cornell-cs5785-2020-applied-ml

Teaching materials for the applied machine learning course at Cornell Tech (online edition)

cta-strategies

Backtest result archive for Momentum Trading Strategies

data5610-sp22

DATA 5610: Advanced Machine Learning for Analytics by Dr. Tyler J. Brough

datascienceguidedcapstone

deeprlpairstrading

dynamax

State Space Models library in JAX

efficient-frontier-python

Plotting the Efficient Frontier in Python. Inspired by Markowitz Modern Portfolio Theory.

energy_arbitrage_work_sample

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

fattails

Code and Notes for fat-tailed statistics.

fin5330

Finance 5330 Financial Econometrics