10 projects
rienet-torch
PyTorch implementation of RIEnet for global minimum-variance portfolio optimization
rienet
A Compact Recurrent-Invariant Eigenvalue Network for Portfolio Optimization
crienet
Neural cleaning of rectangular cross-correlations
compact-rienet
A Compact Recurrent-Invariant Eigenvalue Network for Portfolio Optimization
time-irreversibility-estimator
A package to estimate time irreversibility in time series using gradient boosting classification.
bahc
Bootstrap Average Hierarchical Clustering for filtering covariance matrices
