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afml-exercises

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

alpha-generation

alphagen

Generating sets of formulaic alpha (predictive) stock factors via reinforcement learning.

arbitrage-portfolios

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.

causality-benchmark-data

Showcasing Causality Group's benchmark data through a data loading library and a signal backtesting example.

cqf-1

The CQF program

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

geneticalgorithmpython

Source code of PyGAD, a Python 3 library for building the genetic algorithm and training machine learning algorithms (Keras & PyTorch).

google-research

Google Research

ipca

Instrumented Principal Components Analysis

kaggle-projects

machine-learning-asset-management

Machine Learning in Asset Management (by @firmai)

meta-labeling

Code base for the meta-labeling papers published with the Journal of Financial Data Science

monkeygtg

Reject monke. Return to humanity.

mtl-comb

Optimizing accuracy and diversity: a multi-task approach to forecast combinations

pykalman

Kalman Filter, Smoother, and EM Algorithm for Python

quantgans

Codes for my thesis project: replicating and modifying quant GANs.

research_notebooks

Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.

research_public

Quantitative research and educational materials

rule-based-forex-trading-system

sell-side-research-public

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).

stat-learning

Notes and exercise attempts for "An Introduction to Statistical Learning"

stock-market-data

Contains various data for the stock market and stocks including news, price and fundamentals (ratios)

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).