Pre-release

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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

Project links

Key dates

PyPI data
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  • Released:
Latest release

1 maintainer

PyPI data
Data sourced directly from PyPI's database.
Avatar for xaheli from gravatar.com xaheli

Credits

Author: Aheli Poddar

License

MIT License (MIT)

Requires

Python >=3.10

Tags

stochastic-portfolio-theory quantitative-finance portfolio-optimization relative-arbitrage excess-growth-rate fernholz

Classifiers

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