QuantFinLib

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7 repositories

penfolioop
Public template
Lightweight portfolio optimization for pension funds
python finance investing portfolio-optimization quantitative-finance asset-management portfolio-management pension-funds asset-liability-management
Python
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MIT License
•0•0•3•0•Updated Nov 12, 2025Nov 12, 2025
skpcp
Public
Robust PCA via Principal Component Pursuit with scikit-learn transformer interface.
machine-learning linear-algebra principal-components
Python
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MIT License
•0•0•0•0•Updated Nov 12, 2025Nov 12, 2025
screamer
Public
Screamingly fast streaming indicators with C++ performance and Python simplicity.
trading quantitative-finance algorithmic-trading streaming-algorithms streaming-data quantitative-trading quant-trading
C++
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MIT License
•1•4•0•0•Updated Nov 12, 2025Nov 12, 2025
quantfinlib
Public
Fundamental package for quantitative finance with Python.
simulation clustering cross-validation quantitative-finance feature-engineering algorithmic-trading stochastic-processes financial-markets backtesting market-microstructure
Python
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MIT License
•1•6•0•0•Updated Nov 12, 2025Nov 12, 2025
sharpe-kit
Public
How to use Sharpe Ratio
MIT License
•0•0•0•0•Updated Nov 6, 2025Nov 6, 2025
trend-follower
Public
Implementation of The Science and Practice of Trend-following Systems (Sepp & Lucic 2025)
Python
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MIT License
•0•0•2•0•Updated Sep 24, 2025Sep 24, 2025
heavy-tail
Public
covariance estimation in the presence of heavy tails and outliers
Python
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MIT License
•0•0•0•0•Updated Aug 6, 2025Aug 6, 2025