Pre-release
This release is a pre-release and may not be stable for production use.
quantspt
Stochastic Portfolio Theory toolkit for quantitative finance.
A production-grade Python library implementing E. Robert Fernholz's Stochastic Portfolio Theory — functionally generated portfolios, relative arbitrage detection, excess growth rate optimization, rank-based investing, and Atlas model calibration.
⚠️ Under active development. Full release coming soon.
Installation
pip install quantspt
Features (planned)
- Functionally generated portfolios (diversity, entropy, custom generating functions)
- Excess growth rate computation and optimization (γ*)
- Relative arbitrage detection and construction
- Rank-based portfolio dynamics with local times
- Atlas model calibration and simulation
- Market diversity and concentration measures
- Production backtesting with realistic transaction costs
- Multiple data source adapters (CRSP, Yahoo Finance, Bloomberg)
License
MIT
1 maintainer
Metadata
1 maintainer
Release files for quantspt 0.0.1.dev0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| quantspt-0.0.1.dev0.tar.gz | 2.0 kB | Details |
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| quantspt-0.0.1.dev0-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 4.1 kB
Release files / quantspt-0.0.1.dev0.tar.gz
| Download URL | quantspt-0.0.1.dev0.tar.gz |
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| Size | 2.0 kB |
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Release files / quantspt-0.0.1.dev0-py3-none-any.whl
| Download URL | quantspt-0.0.1.dev0-py3-none-any.whl |
|---|---|
| Size | 2.1 kB |
| Tags | Python 3 |
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