pyRMT
machine-learning-for-trading
| pyRMT | machine-learning-for-trading | |
|---|---|---|
| 1 | 224 | |
| 39 | 11,904 | |
| - | - | |
| 0.0 | 1.1 | |
| almost 2 years ago | 11 months ago | |
| Python | Jupyter Notebook | |
| MIT 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.
machine-learning-for-trading
- Machine Learning for Trading: Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading. Courses - star count:10678.0
- How to backtest common strategy / filters in bulk?
- Machine Learning for Trading: Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading. Courses - star count:10565.0
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