A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
- risk
- pricing
- risk-management
- asset-allocation
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Portfolio optimization with deep learning.
- deep-learning
- portfolio-optimization
- finance
- machine-learning
Do stock correlations predict the market? 66 pre-registered tests, the data, and a triple pendulum that explains why not. If you have an idea you want me to try, submit it as a PR and I will test it and get back to you.
Contingency Random Number Generator — numbers with controllable fat tails, volatility clustering, and scale convergence
- fat-tails
- finance
- kurtosis
- market-simulation