pyRMT
Riskfolio-Lib
pyRMT | Riskfolio-Lib | |
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1 | 193 | |
39 | 2,720 | |
- | - | |
0.0 | 7.4 | |
almost 2 years ago | 4 days ago | |
Python | C++ | |
MIT License | BSD 3-clause "New" or "Revised" License |
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pyRMT
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Papers for intro to Statistical Arbitrage
A nice intro is given here https://www.cfm.fr/assets/ResearchPapers/2016-Cleaning-Correlation-Matrices.pdf . The implementations aren’t super complex, but this package https://github.com/GGiecold/pyRMT has a bunch in one place that you can try out, plus a couple more references. In general this is quite an important problem and useful outside of finance too so there’s a lot of stuff on Google scholar and more comes out every year. Ledoit+Wolf, Bouchaud+Potters are some of the authors to look out for.
Riskfolio-Lib
- Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0
- Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2313.0
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dcapal alternatives - PyPortfolioOpt and Riskfolio-Lib
3 projects | 16 Sep 2023
- Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2222.0
- Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2178.0
What are some alternatives?
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deepdow - Portfolio optimization with deep learning.