convexfi/sparseGraph

Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)

Language: R - Size: 11.5 MB - Last synced: about 1 month ago - Pushed: almost 2 years ago - Stars: 4 - Forks: 7

convexfi/riskparity.py

Fast and scalable construction of risk parity portfolios

Language: Python - Size: 3.61 MB - Last synced: about 1 month ago - Pushed: 3 months ago - Stars: 277 - Forks: 64

convexfi/fingraph

Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)

Language: R - Size: 7.36 MB - Last synced: about 1 month ago - Pushed: about 1 year ago - Stars: 36 - Forks: 13

convexfi/riskparity.rs

Implementations of risk parity portfolios in Rust

Language: Rust - Size: 7.81 KB - Last synced: 17 days ago - Pushed: over 1 year ago - Stars: 1 - Forks: 2

convexfi/bipartite

Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)

Language: R - Size: 5.95 MB - Last synced: 12 days ago - Pushed: about 1 year ago - Stars: 3 - Forks: 2

convexfi/intradayModel

Modeling of intraday volatility and volume in financial markets

Language: R - Size: 25.3 MB - Last synced: 6 months ago - Pushed: about 1 year ago - Stars: 10 - Forks: 3

convexfi/spectralGraphTopology

Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)

Language: R - Size: 136 MB - Last synced: about 1 month ago - Pushed: over 1 year ago - Stars: 57 - Forks: 17

convexfi/fitHeavyTail

Mean and Covariance Matrix Estimation under Heavy Tails

Language: R - Size: 40.2 MB - Last synced: about 1 month ago - Pushed: about 1 year ago - Stars: 19 - Forks: 4

convexfi/.github

Size: 39.1 KB - Last synced: 10 months ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0