Repositories list

• skpcp

  Public
  Robust PCA via Principal Component Pursuit with scikit-learn transformer interface.

  machine-learninglinear-algebraprincipal-components

  Python

  •

  MIT License

  •0•0•0•0•Updated Sep 8, 2025Sep 8, 2025

• trend-follower

  Public
  Implementation of The Science and Practice of Trend-following Systems (Sepp & Lucic 2025)

  MIT License

  •0•0•2•0•Updated Sep 2, 2025Sep 2, 2025

• penfolioop

  Public template
  Lightweight portfolio optimization for pension funds

  Python

  •

  MIT License

  •0•0•3•0•Updated Aug 29, 2025Aug 29, 2025

• heavy-tail

  Public
  covariance estimation in the presence of heavy tails and outliers

  Python

  •

  MIT License

  •0•0•0•0•Updated Aug 6, 2025Aug 6, 2025

• quantfinlib

  Public
  Fundamental package for quantitative finance with Python.

  simulationclusteringcross-validation+ 9quantitative-financefeature-engineeringalgorithmic-tradingstochastic-processesfinancial-marketsbacktestingmarket-microstructure+ 2

  Python

  •

  MIT License

  •1•6•0•0•Updated Dec 18, 2024Dec 18, 2024

• screamer

  Public
  Screamingly fast streaming indicators with C++ performance and Python simplicity.

  tradingquantitative-financealgorithmic-trading+ 4streaming-algorithmsstreaming-dataquantitative-tradingquant-trading

  C++

  •

  MIT License

  •1•3•0•0•Updated Nov 23, 2024Nov 23, 2024