Popular repositories

1. PortfolioStrategyBacktestUS PortfolioStrategyBacktestUS Public

   Master thesis project. The improved estimator of the covariance matrix of asset returns is employed to derive a new trading strategy based on a two-step procedure. First, it shrinks the asset unive…

   Python 5 3

2. ImprovingMVPortfolio ImprovingMVPortfolio Public

   This code tests the basic idea of my Master thesis. I propose an improved estimator of the covariance matrix of asset returns, employed in the computation of the minimum-variance portfolio. The mai…

   Python 2 1

3. PortfolioStrategy PortfolioStrategy Public

   Enhanced version of the Master thesis project. The original code has been enriched with a module that automatically downloads and stores new intraday data from Yahoo Finance, to serve as a real rob…

   Python 1 3

4. MonteCarloOptionPricing MonteCarloOptionPricing Public

   Python

5. RNN-for-prediction-of-SP500 RNN-for-prediction-of-SP500 Public

   Prediction of SP500 up/down movements via Recurrent Neural Network

   Python