HKUST Convex Optimization in Finance Group

All

9 repositories

riskparity.rs
Public
Implementations of risk parity portfolios in Rust
Rust
•
MIT License
•2•2•0•0•Updated Oct 19, 2024Oct 19, 2024
riskparity.py
Public
Fast and scalable construction of risk parity portfolios
finance optimization portfolio-optimization risk-parity
Python
•
MIT License
•65•290•5•0•Updated May 27, 2024May 27, 2024
intradayModel
Public
Modeling of intraday volatility and volume in financial markets
R
•
Apache License 2.0
•4•11•0•0•Updated May 29, 2023May 29, 2023
fingraph
Public
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
R
•
MIT License
•13•38•1•0•Updated May 28, 2023May 28, 2023
bipartite
Public
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
R
•
MIT License
•2•3•0•0•Updated May 28, 2023May 28, 2023
fitHeavyTail
Public
Mean and Covariance Matrix Estimation under Heavy Tails
outliers tyler covariance-matrix cauchy covariance-estimation robust-estimation student-t heavy-tailed-distributions
R
•
GNU General Public License v3.0
•4•21•0•0•Updated May 24, 2023May 24, 2023
.github
Public
0•0•0•0•Updated May 24, 2023May 24, 2023
spectralGraphTopology
Public
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
machine-learning clustering
R
•
GNU General Public License v3.0
•17•59•4•0•Updated Sep 26, 2022Sep 26, 2022
sparseGraph
Public
Nonconvex Sparse Graph Learning under Laplacian-structured Graphical Model (NeurIPS 2020)
machine-learning
R
•
MIT License
•7•4•0•0•Updated Aug 29, 2022Aug 29, 2022