skylinepro's starred repositories
fortitudo.tech
Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
SVM-Genetic_Alpha
This is derivative work from literature review of a paper, intending to serve as main alpha for the research project developed under ETC Investment Group, Academy Division. The underlying logic and technique follows through with the abstract: "This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre-defined classes, based on their performance on some key financial criteria. Next, we employ Real-Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investorpreferences." Model: -Multicriteria portfolio selection model developed by Gupta et al. can yield positive results despite a deficit in areas of return and risk -Traditional Markowitz model Multiobjective programming model for asset portfolio allocation Tools and algorithms: Support Vector Machine Real Coded Genetic Algorithm Parameters: Short-term returns (12-month period) Long-term returns(36-month period) Risk Liquidity.
2DS-L
2DS-L: A dynamical system decomposition of signal approach to learning with application in time series prediction. This research proposes a novel approach for time series forecasting using dynamical systems, signal processing, and Neural Networks, which wit named 2DS-L.
LLMs-from-scratch
Implementing a ChatGPT-like LLM in PyTorch from scratch, step by step
arbitrage_research
Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.
Compendium-of-free-ML-reading-resources
Compendium of free ML reading resources
quant-finance-lectures
Learn quantitative finance with this comprehensive lecture series. Adapted from the Quantopian Lecture Series. Uses free sample data.
llm-course
Course to get into Large Language Models (LLMs) with roadmaps and Colab notebooks.
PCMCI-Omega
Code for PCMCI-Ω algorithm from the NeurIPS'23 paper "Causal Discovery in Semi-Stationary Time Series"
Stock_Analysis_For_Quant
Various Types of Stock Analysis in Excel, Matlab, Power BI, Python, R, and Tableau
LinkedIn-Learning-Journey
Academic and industry articles focused on Time Series Analysis and Interpretable Machine Learning. Common Python packages such as Darts, PyCaret, Nixtla, Sktime, MAPIE, and PiML will be featured.
rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
AlphaTrade
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
PlotJuggler
The Time Series Visualization Tool that you deserve.
awesome-optimization
A curated list of mathematical optimization courses, lectures, books, notes, libraries, frameworks and software.
KindleClippings
Extract kindle highlights into organised text files
PortfolioOptimization
Material accompanying the MOSEK Portfolio Optimization Cookbook
MachineLearningStocks
Using python and scikit-learn to make stock predictions
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity