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arbitragelab

ArbitrageLab is a python library that enables traders who want to exploit mean-reverting portfolios by providing a complete set of algorithms from the best academic journals.

awesome-systematic-trading

A curated list of awesome libraries, packages, strategies, books, blogs, tutorials for systematic trading.

bert

TensorFlow code and pre-trained models for BERT

bootstrapped

Generate bootstrapped confidence intervals for A/B testing in Python.

cvx_short_course

Materials for a short course on convex optimization.

deep-learning-and-time-series-momentum

eigenportfolios

In this project, we will explore the usage of Principal Component Analysis to model market behavior within an industry. Furthermore, we will explore the interpretation of top eigenvectors as portfolios to create trading strategies.

gpt3-sandbox

The goal of this project is to enable users to create cool web demos using the newly released OpenAI GPT-3 API with just a few lines of Python.

hft

code:Hidden factors and hidden topics: Understanding rating dimensions with review text.

kats

Kats, a kit to analyze time series data, a lightweight, easy-to-use, generalizable, and extendable framework to perform time series analysis, from understanding the key statistics and characteristics, detecting change points and anomalies, to forecasting future trends.

kr_example

kr_return_example

Kernel Ridge (KR) Model for Bond Return Estimation

machine-learning-for-algorithmic-trading-second-edition

Code and resources for Machine Learning for Algorithmic Trading, 2nd edition.

machine-learning-for-asset-managers

Implementation of code snippets, exercises and application to live data from Machine Learning for Asset Managers (Elements in Quantitative Finance) written by Prof. Marcos López de Prado.

ml_codes

Empirical Data and Some Simulation Codes

mlfinlab

Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning

pca-yield-curve-analytics

Predictive Yield Curve Modeling in Reduced Dimensionality

pricegraph

Open code for PriceGraph

pyrcca

Regularized kernel canonical correlation analysis in Python

pysabr

SABR model Python implementation

python-causality-handbook

Causal Inference for the Brave and True. A light-hearted yet rigorous approach to learning about impact estimation and sensitivity analysis.

qtrader

Reinforcement Learning for Portfolio Management

rebellion_research_nlp

In this repository you will find code for our capstone project "How to Predict Stock Movements Using NLP Techniques". The code has been adapted in the first 3 pairs to illustrate how to scrape the EDGAR webpage. However, the word2vec analysis and FinBERT analysis use as data the data uploaded in this repository. Get in touch with me if you have any questions or if you find any mistakes.

recommender-system

Implementing different approaches for recommendation systems

replicationcrisis

Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)

sophiamyang.github.io

tigramite

Tigramite is a python package for causal inference with a focus on time series data. The Tigramite documentation is at

time-series-momentum

🚂💨 Deep Momentum Networks for Time Series Strategies

trading-momentum-transformer

This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).

transformers

🤗Transformers: State-of-the-art Natural Language Processing for Pytorch and TensorFlow 2.0.