Implementation of Nadaraya-Watson kernel regression with automatic bandwidth selection compatible with sklearn.

An educational machine learning library.

Python notebooks illustrating the Portfolio Optimizer API

Exchange calendars to use with pandas for trading applications

A toolkit for machine learning from time series

Random Forest-based "Correlation" measures

Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"

ML-Ensemble – high performance ensemble learning

A unified framework for tabular probabilistic regression and probability distributions in python

Graphic notes on Gilbert Strang's "Linear Algebra for Everyone"

Python implementation of Generalized Additive Models

[HELP REQUESTED] Generalized Additive Models in Python

Rethinking machine learning pipelines

My replication of financial papers.

A Tree based feature selection tool which combines both the Boruta feature selection algorithm with shapley values.

A power-full Shapley feature selection method.

A Fast Implementation of Random Forests

Evaluate portfolios of ETFs using bootstrapping and optimize allocation.

Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)

Python (pip) package for fitting mixtures of Student's t-distributions using either maximum likelihood (EM) or Bayesian methodology (variational mean-field)

tsbootstrap: generate bootstrapped time series samples in Python

scikit-learn compatible Python bindings for ranger C++ random forest library

Implementation of "The Metropolis Algorithm: Theory and Examples"

A collection of open-source GPU accelerated Python tools and examples for quantitative analyst tasks and leverages RAPIDS AI project, Numba, cuDF, and Dask.

Deep Reinforcement Learning for Portfolio Optimization

Generative Adversarial Network for Stock Market Price Prediction

In this project, we will compare two algorithms for stock prediction. First, we will utilize the Long Short Term Memory(LSTM) network to do the Stock Market Prediction. LSTM is a powerful method th…

Material accompanying the MOSEK Portfolio Optimization Cookbook