esvhd

pypbo

Probability of Backtest Overfitting in Python

bondidx

Bond index etc

cvxportfolio

Portfolio optimization and simulation in Python

finBERT

Financial Sentiment Analysis with BERT

FractionalDiff

Experiments with fractional differencing

mpo

Multi-Period Optimisation

rank_eval

⚡️ Blazing fast ranking evaluation metrics with Python and Numba 🐍

annotated-transformer

http://nlp.seas.harvard.edu/2018/04/03/attention.html

awd-lstm-lm

LSTM and QRNN Language Model Toolkit for PyTorch

dabl

Data Analysis Baseline Library

dynamic-evaluation

Dynamic evaluation for pytorch language models, now includes hyperparameter tuning

esvhd.github.io

former

Simple transformer implementation from scratch in pytorch.

kids

Notebooks for kids

machine-learning-asset-management

Machine Learning in Asset Management (by @firmai)

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.

mlfinlab

MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

mlstack

Machine learning code

notes

Various study notes

openedgar

OpenEDGAR (openedgar.io)

pyhistdata

Python parsers for pyhistdata using Pandas

PyPortfolioOpt

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

python-edgar

Download the SEC fillings index from EDGAR since 1993

pytorch_play

pytorch playground

Rfredmd

FRED-MD preprocessing scripts

scikit-learn

scikit-learn: machine learning in Python

shared

Public code

slow-momentum-fast-reversion

This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).

TCN

Sequence modeling benchmarks and temporal convolutional networks

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).