Financial Machine Learning and Data Science
A curated list of practical financial machine learning (FinML) tools and applications. This collection is primarily in Python.
A listed repository should be deprecated if:
Repository's owner explicitly say that "this library is not maintained".
Not committed for long time (2~3 years).
This repo is officially under revamp as of 3/29/2021!!
TODOs and roadmap is under the github project here
If you would like to contribute to this repo, please send us a pull request or contact @dereknow or @bin-yang-algotune
Join us in the gitter chat here
All repos/links status including last commit date is updated daily
Only 15 Highest ranked repos/links for each section are displayed on main README.md and full list is available within the wiki page
Both Wikis/README.md is updated in realtime as soon as new information are pushed to the repo
Deep Learning & Reinforcement Learning (Wiki )
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Stock-Prediction-Models
very good curated list of notebooks showing deep learning + reinforcement learning models. Also contain topics on outlier detections/overbought oversold study/monte carlo simulartions/sentiment analysis from text (text storage/parsing is not detailed but it mentioned using BERT )
12/18/17 10:49
1/5/21 10:31
3655.0
✔️
⭐x5
AI Trading
AI to predict stock market movements.
1/9/19 8:02
2/11/19 16:32
2876.0
✖️
⭐x5
FinRL-Library
started by Columbia university engineering students and designed as an end to end deep reinforcement learning library for automated trading platform. Implementation of DQN DDQN DDPG etc using PyTorch and gym use pyfolio for showing backtesting stats. Big contributions on Proximal Policy Optimization (PPO) advantage actor critic (A2C) and Deep Deterministic Policy Gradient (DDPG) agents for trading
7/26/20 13:18
4/11/21 22:02
1857.0
✔️
⭐x5
Deep Learning IV
Bulbea: Deep Learning based Python Library.
3/9/17 6:11
3/19/17 7:42
1467.0
✖️
⭐x5
RLTrader
predecessor to tensortrade uses open api gym and neat way to render matplotlib plots in real time. Also explains LSTM/data stationarity/Bayesian optimization using Optuna etc.
4/27/19 18:35
10/17/19 16:25
1312.0
✔️
⭐x5
Deep Learning III
Algorithmic trading with deep learning experiments.
6/18/16 18:23
8/7/18 15:24
1266.0
✖️
⭐x5
Personae
implementation of deep reinforcement learning and supervised learnings covering areas: deep deterministic policy gradient (DDPG) and DDQN etc. Data are being pulled from rqalpha which is a python backtest engine and have a nice docker image to run training/testing
3/10/18 11:22
9/2/18 17:21
1144.0
✖️
⭐x5
RL Trading
A collection of 25+ Reinforcement Learning Trading Strategies -Google Colab.
nan
nan
nan
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⭐x4
Deep-Reinforcement-Learning-for-Automated-Stock-Trading-Ensemble-Strategy-ICAIF-2020
Part of FinRL and provided code for paper deep reinformacement learning for automated stock trading focuses on ensemble.
7/26/20 13:12
1/21/21 18:11
560.0
✔️
⭐x4
awesome-deep-trading
curated list of papers/repos on topics like CNN/LSTM/GAN/Reinforcement Learning etc. Categorized as deep learning for now but there are other topics here. Manually maintained by cbailes
11/26/18 3:23
1/1/21 9:41
551.0
✔️
⭐x4
Neural Network
Neural networks to predict stock prices.
9/10/18 6:34
11/21/18 7:39
489.0
✖️
⭐x4
Deep Learning
Technical experimentations to beat the stock market using deep learning.
12/12/16 2:15
3/4/17 8:37
427.0
✖️
⭐x4
LTSM Recurrent
OHLC Average Prediction of Apple Inc. Using LSTM Recurrent Neural Network.
10/7/18 3:58
8/3/19 9:00
1207.0
✔️
⭐x4
RL III
Github -Deep Reinforcement Learning based Trading Agent for Bitcoin.
9/21/17 17:05
4/13/18 16:33
576.0
✖️
⭐x3
crypto-rl
Retrieve limit order book level data from coinbase pro and bitfinex -> record in arctic timeseries database then implemented trend following strategies (market orders) and market making (limit orders). Uses reinforcement learning (DQN) keras-rl to create agents and uses openai gym to implement POMDP (partially observable markov decision process)
6/21/18 1:06
11/5/20 11:08
347.0
✔️
⭐x3
Data Processing Techniques and Transformations (Wiki )
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Advanced ML II
More implementations of Financial Machine Learning (De Prado).
nan
nan
nan
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Advanced ML
Exercises too Financial Machine Learning (De Prado).
4/25/18 17:22
1/16/20 17:25
973.0
✔️
Portfolio Selection and Optimisation (Wiki )
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Online Portfolio Selection
****Comparing OLPS algorithms on a diversified set of ETFs.
nan
nan
nan
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Modern Portfolio Theory
Universal portfolios; modern portfolio theory.
nan
nan
nan
✔️
OLMAR Algorithm
Relative importance of each component of the OLMAR algorithm.
7/26/16 16:20
12/30/16 11:40
7.0
✖️
Riskfolio-Lib
NEW
3/2/20 19:49
4/1/21 3:50
371.0
✔️
Reinforcement Learning
Reinforcement Learning for Portfolio Management.
10/7/17 9:14
6/26/18 9:22
364.0
✖️
DeepDow
Portfolio optimization with deep learning.
2/2/20 8:46
2/16/21 18:50
311.0
✔️
Distribution Characteristic Optimisation
Extends classical portfolio optimisation to take the skewness and kurtosis of the distribution of market invariants into account.
11/16/18 12:20
7/4/19 1:41
232.0
✔️
PyPortfolioOpt
Financial portfolio optimisation, including classical efficient frontier and advanced methods.
5/29/18 13:30
2/25/21 13:01
1895.0
✔️
401K Portfolio Optimisation
Portfolio analyses and optimisation for 401K.
8/1/18 19:48
9/5/19 11:18
14.0
✔️
Policy Gradient Portfolio
A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem.
11/12/17 16:08
5/9/19 9:50
1281.0
✔️
riskparity.py
NEW
7/13/19 21:30
1/30/21 1:53
124.0
✔️
Deep Portfolio Theory
Autoencoder framework for portfolio selection.
2/10/17 9:03
3/8/18 16:47
105.0
✖️
Efficient Frontier
Modern Portfolio Theory.
2/17/18 8:19
2/27/18 13:16
104.0
✖️
node-finance
NEW
9/17/11 17:49
4/5/21 8:01
101.0
✔️
Factor and Risk Analysis (Wiki )
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VaR GaN
Estimate Value-at-Risk for market risk management using Keras and TensorFlow.
8/6/18 16:09
11/22/20 19:02
41.0
✔️
Various Risk Measures
Risk measures and factors for alternative and responsible investments.
8/7/17 14:44
8/8/17 22:52
4.0
✖️
Pyfolio
Portfolio and risk analytics in Python.
6/1/15 15:31
2/28/20 17:30
3673.0
✔️
Quant Finance
General quant repository.
8/11/18 22:59
11/12/19 4:49
31.0
✔️
CAPM
Expected returns using CAPM.
5/10/16 11:03
5/17/16 3:44
31.0
✖️
Risk Basic
Active portfolio risk management .
5/10/16 11:03
5/17/16 3:44
31.0
✖️
Factor Analysis
Factor analysis for mutual funds.
3/13/18 7:39
3/13/18 7:42
3.0
✖️
Statistical Finance
Various financial experiments.
10/4/15 9:10
3/28/20 18:33
21.0
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Performance Analysis
Performance analysis of predictive (alpha) stock factors.
6/3/16 21:49
4/27/20 18:40
1847.0
✔️
Convex Optimisation
Convex Optimization for Finance.
6/26/18 20:36
10/22/19 21:56
18.0
✔️
Factor Analysis
Factor strategy notebooks.
5/1/17 7:36
4/7/21 15:25
172.0
✔️
AlphaTrading
NEW
5/18/18 22:09
8/7/18 18:05
149.0
✖️
Risk and Return
Riskiness of portfolios and assets.
9/12/17 13:35
8/6/20 12:35
140.0
✔️
Python for Finance
Various financial notebooks.
12/15/14 11:23
7/10/18 6:38
1298.0
✖️
Stock-Prediction
NEW
3/18/18 4:54
2/28/20 11:43
129.0
✔️
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PCA Pairs Trading
PCA, Factor Returns, and trading strategies.
nan
nan
nan
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Pairs Trading
Finding pairs with cluster analysis.
9/5/17 19:19
9/27/17 20:42
79.0
✖️
Industry Clustering
Project to cluster industries according to financial attributes.
7/21/17 2:12
7/23/17 2:53
4.0
✖️
Industry Clustering
Clustering of industries.
7/21/17 2:12
7/23/17 2:53
4.0
✖️
Fund Clusters
Data exploration of fund clusters.
4/16/18 22:18
6/7/18 22:01
4.0
✖️
VRA Stock Embedding
Variational Reccurrent Autoencoder for Embedding stocks to vectors based on the price history.
6/21/17 4:47
6/21/17 4:51
32.0
✖️
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NLP
This project assembles a lot of NLP operations needed for finance domain.
nan
nan
nan
✔️
Financial Statement Sentiment
Extracting sentiment from financial statements using neural networks.
6/4/18 20:54
6/4/18 20:56
8.0
✖️
Extensive NLP
Comprehensive NLP techniques for accounting research.
10/25/17 7:10
6/5/20 3:28
73.0
✔️
NLP Event
Applying Deep Learning and NLP in Quantitative Trading.
7/2/18 23:50
1/31/19 14:08
70.0
✖️
Financial Sentiment Analysis
Sentiment, distance and proportion analysis for trading signals.
6/23/17 0:05
1/26/19 3:35
48.0
✖️
Fund classification
Fund classification using text mining and NLP.
4/16/18 22:18
6/7/18 22:01
4.0
✖️
Earning call transcripts
Correlation between mutual fund investment decision and earning call transcripts.
12/30/17 8:56
1/11/18 2:11
3.0
✖️
Accounting Anomalies
Using deep-learning frameworks to identify accounting anomalies.
5/24/17 12:36
8/7/19 21:47
110.0
✔️
Buzzwords
Return performance and mutual fund selection.
2/4/18 21:51
2/4/18 21:57
1.0
✖️
Derivatives and Hedging (Wiki )
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Options
Black Scholes and Copula.
nan
nan
nan
✔️
Derivative Markets
The economics of futures, futures, options, and swaps.
2/9/16 5:30
4/6/21 20:49
8.0
✔️
Volatility and Variance Derivatives
Volatility derivatives analytics.
10/21/16 4:12
2/22/21 13:32
79.0
✔️
Hull White
Callable Bond, Hull White.
6/6/18 22:06
6/6/18 22:27
4.0
✖️
Derivatives Python
Derivative analytics with Python.
7/9/15 12:27
2/22/21 13:29
388.0
✔️
Options
Introduction to options.
7/28/17 15:48
3/17/21 17:17
335.0
✔️
Delta Hedging
Advanced derivatives.
3/2/18 23:53
7/17/18 23:32
3.0
✖️
Option Strategies
Valuation of Vanilla and Exotic option strategies (Butterfly, Risk Reversal etc.) with widget animations.
5/22/18 18:27
5/22/18 18:30
2.0
✖️
Computational Derivatives
Projects focusing on investigating simulations and computational techniques applied in finance.
1/29/18 5:01
8/2/18 5:56
17.0
✖️
Reinforcement Learning
Hedging portfolios with reinforcement learning.
4/21/17 10:58
8/2/17 21:41
16.0
✖️
Options Risk Measures
Efficient financial risk estimation via computer experiment design (regression + variance-reduced sampling).
4/29/16 3:51
1/16/18 1:24
1.0
✖️
Black Scholes
Options pricing.
12/9/17 18:50
7/9/18 9:48
1.0
✖️
Derman
Binomial tree for American call.
5/18/18 18:08
9/21/18 19:59
1.0
✖️
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Corporate Bonds
Predicting the buying and selling volume of the corporate bonds.
9/27/17 19:57
9/27/17 20:00
7.0
✖️
Vasicek
Bootstrapping and interpolation.
7/18/18 19:26
7/18/18 19:34
3.0
✖️
Binomial Tree
Utility functions in fixed income securities.
2/2/19 8:44
5/3/19 17:16
1.0
✔️
Alternative Finance (Wiki )
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Venture Capital NN
Cox-PH neural network predictions for VC/innovations finance research.
nan
nan
nan
✔️
Art Valuation
Art evaluation analytics.
12/11/14 0:25
12/12/14 21:25
9.0
✖️
Private Equity
Valuation models.
1/27/16 21:13
3/14/16 20:03
8.0
✖️
Kiva Crowdfunding
Exploratory data analysis.
2/27/18 16:46
2/13/19 0:15
5.0
✖️
Watch Valuation
Analysis of luxury watch data to classify whether a certain model is likely to be over-or undervalued.
2/8/17 18:39
4/27/17 22:55
4.0
✖️
Venture Capital
Insight into a new founder to make data-driven investment decisions.
12/4/17 8:59
12/13/17 5:35
3.0
✖️
VC OLS
VC regression.
3/29/18 23:31
3/29/18 23:33
2.0
✖️
Blockchain
Repository for distributed autonomous investment banking.
9/5/16 19:12
4/24/17 10:48
12.0
✖️
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created_at
last_commit
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Commodity
Commodity influence over Brazilian stocks.
nan
nan
nan
✔️
Real Estate Property Fraud
Unsupervised fraud detection model that can identify likely candidates of fraud.
nan
nan
nan
✔️
Behavioural Economics
Behavioural Economics and Finance Python Notebooks.
12/20/18 0:21
3/26/19 11:51
9.0
✖️
Corporate Finance
Basic corporate finance.
9/9/17 3:35
9/9/17 23:04
9.0
✖️
Applied Corporate Finance
Studies the empirical behaviours in stock market.
1/29/18 5:14
7/19/18 6:25
8.0
✖️
NLP Finance Papers
Curating quantitative finance papers using machine learning.
10/11/18 20:32
12/24/18 23:27
8.0
✖️
HFT
High frequency trading.
7/21/16 5:14
2/14/17 16:47
748.0
✖️
Financial Economics
Financial Economics Models.
11/9/14 4:49
12/3/18 16:30
713.0
✖️
Mathematical Finance
Notebooks for math and financial tutorials.
1/21/17 11:24
8/1/20 17:03
664.0
✔️
Backtests
Trading data and algorithms.
9/16/18 20:00
9/5/20 13:01
620.0
✔️
Liquidity and Momentum
Various factors and portfolio constructions.
8/11/18 22:59
11/12/19 4:49
31.0
✔️
Life-cycle
Company life cycle.
1/19/19 18:16
2/18/19 16:57
3.0
✖️
M&A
Mergers and Acquisitions.
1/19/19 18:16
2/18/19 16:57
3.0
✖️
Currency PCA
Forex spots PCA.
3/12/19 21:11
3/12/19 22:09
3.0
✖️
Deep Portfolio
Deep learning for finance Predict volume of bonds.
5/8/18 19:34
5/9/18 15:39
27.0
✖️
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last_commit
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Basic Investments
Basic investment tools in python.
8/2/17 21:52
8/17/17 3:24
9.0
✖️
Mathematical Finance
NYU Math-GA 2048: Scientific Computing in Finance.
1/25/15 21:10
3/25/20 4:24
69.0
✔️
Algo Trading
Intro to algo trading.
10/29/17 20:34
1/22/19 6:56
64.0
✖️
Risk Management
Finance risk engagement course resources.
10/3/18 16:26
12/13/18 8:04
6.0
✖️
Basic Derivatives
Basic forward contracts and hedging.
8/24/17 0:11
10/13/17 1:32
4.0
✖️
Machine Learning for Trading
Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading.
5/9/18 12:33
4/10/21 22:21
3842.0
✔️
ML Specialisation
Machine Learning in Finance.
1/24/19 2:55
1/3/20 21:54
34.0
✔️
Python for Finance
CEU python for finance course material.
12/12/17 11:54
2/25/20 20:31
16.0
✔️
Handson Python for Finance
Hands-on Python for Finance published by Packt.
8/20/18 14:10
1/15/21 8:57
121.0
✔️
Basic Finance
Source code notebooks basic finance applications.
5/6/17 2:39
6/21/17 4:04
10.0
✖️
Colleges, Centers and Departments (Wiki )