Financial Machine Learning and Data Science A curated list of practical financial machine learning (FinML) tools and applications. This collection is primarily in Python.
A listed repository should be deprecated if:
Repository's owner explicitly say that "this library is not maintained".
Not committed for long time (2~3 years).
This repo is officially under revamp as of 3/29/2021!!
TODOs and roadmap is under the github project here
If you would like to contribute to this repo, please send us a pull request or contact @dereknow or @bin-yang-algotune
Join us in the gitter chat here
All repos/links status including last commit date is updated daily
Only 15 Highest ranked repos/links for each section are displayed on main README.md and full list is available within the wiki page
Both Wikis/README.md is updated in realtime as soon as new information are pushed to the repo
Deep Learning & Reinforcement Learning (Wiki )
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Stock-Prediction-Models very good curated list of notebooks showing deep learning + reinforcement learning models. Also contain topics on outlier detections/overbought oversold study/monte carlo simulartions/sentiment analysis from text (text storage/parsing is not detailed but it mentioned using BERT ) 12/18/17 10:49 1/5/21 10:31 3655.0 ✔️ ⭐x5
AI Trading AI to predict stock market movements. 1/9/19 8:02 2/11/19 16:32 2876.0 ✖️ ⭐x5
FinRL-Library started by Columbia university engineering students and designed as an end to end deep reinforcement learning library for automated trading platform. Implementation of DQN DDQN DDPG etc using PyTorch and gym use pyfolio for showing backtesting stats. Big contributions on Proximal Policy Optimization (PPO) advantage actor critic (A2C) and Deep Deterministic Policy Gradient (DDPG) agents for trading 7/26/20 13:18 4/11/21 22:02 1857.0 ✔️ ⭐x5
Deep Learning IV Bulbea: Deep Learning based Python Library. 3/9/17 6:11 3/19/17 7:42 1467.0 ✖️ ⭐x5
RLTrader predecessor to tensortrade uses open api gym and neat way to render matplotlib plots in real time. Also explains LSTM/data stationarity/Bayesian optimization using Optuna etc. 4/27/19 18:35 10/17/19 16:25 1312.0 ✔️ ⭐x5
Deep Learning III Algorithmic trading with deep learning experiments. 6/18/16 18:23 8/7/18 15:24 1266.0 ✖️ ⭐x5
Personae implementation of deep reinforcement learning and supervised learnings covering areas: deep deterministic policy gradient (DDPG) and DDQN etc. Data are being pulled from rqalpha which is a python backtest engine and have a nice docker image to run training/testing 3/10/18 11:22 9/2/18 17:21 1144.0 ✖️ ⭐x5
RL Trading A collection of 25+ Reinforcement Learning Trading Strategies -Google Colab. nan nan nan ✔️ ⭐x4
Deep-Reinforcement-Learning-for-Automated-Stock-Trading-Ensemble-Strategy-ICAIF-2020 Part of FinRL and provided code for paper deep reinformacement learning for automated stock trading focuses on ensemble. 7/26/20 13:12 1/21/21 18:11 560.0 ✔️ ⭐x4
awesome-deep-trading curated list of papers/repos on topics like CNN/LSTM/GAN/Reinforcement Learning etc. Categorized as deep learning for now but there are other topics here. Manually maintained by cbailes 11/26/18 3:23 1/1/21 9:41 551.0 ✔️ ⭐x4
Neural Network Neural networks to predict stock prices. 9/10/18 6:34 11/21/18 7:39 489.0 ✖️ ⭐x4
Deep Learning Technical experimentations to beat the stock market using deep learning. 12/12/16 2:15 3/4/17 8:37 427.0 ✖️ ⭐x4
LTSM Recurrent OHLC Average Prediction of Apple Inc. Using LSTM Recurrent Neural Network. 10/7/18 3:58 8/3/19 9:00 1207.0 ✔️ ⭐x4
RL III Github -Deep Reinforcement Learning based Trading Agent for Bitcoin. 9/21/17 17:05 4/13/18 16:33 576.0 ✖️ ⭐x3
crypto-rl Retrieve limit order book level data from coinbase pro and bitfinex -> record in arctic timeseries database then implemented trend following strategies (market orders) and market making (limit orders). Uses reinforcement learning (DQN) keras-rl to create agents and uses openai gym to implement POMDP (partially observable markov decision process) 6/21/18 1:06 11/5/20 11:08 347.0 ✔️ ⭐x3
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Hands-On-Machine-Learning-for-Algorithmic-Trading repo for book hands-on-machine learning for algorithmic trading covering topic from data/unsupervised learning/NPL/RNN & CNN/reinforcement learning etc. Leverage zipline/alphalens/sklearn/openai-gym etc as well. Good references to have 5/7/19 11:04 1/19/21 7:51 600.0 ✔️ ⭐x5
Microservices-Based-Algorithmic-Trading-System docker based platfrom for developing algo trading strategies. Very interesting combinations of open source components were used including backtrader for backtest strategies / mlflow for managing the machine learning model life cycle (i.e. training and developing machine learning models) / airflow used as workflow management including schedule data download etc. / superset web data visualization tool similar to tableau / minio for fast object storage (i.e. storing saved models and model artifacts) / postgresql used to store security master and daily and minute data. Also contains some details on deployment on cloud 1/6/20 0:21 3/31/20 13:02 104.0 ✔️ ⭐x5
Awesome-Quant-Machine-Learning-Trading curated list of books/online courses/youtube videos/blogs/interviews/papers/code etc. Updates are pretty infrequent 11/5/18 21:09 10/8/20 16:48 1005.0 ✔️ ⭐x5
AlphaPy machine learning framework built on sklearn and pandas. Support pyfolio/xgboost/lightgmb/catboost(gradient boosting on decision tress) etc. Examples include financial market prediction/sports prediction/kaggle. Configurations are set though yaml file for all model process including feature selection/grid search on parameters and aggregate results for each model 2/14/16 0:47 2/8/21 21:35 576.0 ✔️ ⭐x4
Machine-Learning-for-Algorithmic-Trading-Second-Edition_Original official repo for machine learning for algorithmic trading book. Covering topics including backtesting/boosting/nlp/deep&reinforcement learning. Leverage open source libraries including backtrader zipline and talib 11/15/19 8:51 1/21/21 7:56 279.0 ✔️ ⭐x4
fin-ml accompanying materials for book Machine Learning and Data Science Blueprints for Finance on top of basic machine learning models i.e. nlp/reinforcement learning/supervised & unsupervised learning it covers wider topics including robo-advisors/fraud detection/loan default/derivative pricing/yield curve construction. 5/10/20 0:25 1/23/21 17:15 116.0 ✔️ ⭐x4
awesome-ai-in-finance curated list of books/online courses/papers on AI and finance. Topics include crypto trading strategies/ta/backter etc. 8/29/18 2:07 11/27/20 9:43 941.0 ✔️ ⭐x3
Scikit-learn Stock Prediction using fundamental and pricing data to predict future stock returns. Sklearn's randomforest classifier is trainded and author claimed positive live trading results. Not actively mainained 2/12/17 4:50 2/4/21 3:48 931.0 ✖️ ⭐x3
MathAndScienceNotes Collections of news/articles on various topics including quant trading and machine learning. Some articles are from ycombinator message board and rediit algotrading forum 3/11/16 19:13 12/21/20 3:54 460.0 ✔️ ⭐x3
Fundamental LT Forecasts Research in investment finance for long term forecasts and a curated list of notebooks. Each topic contains a youtube video explaining in details. Interesting topics including using price per book ratio and other multiples for future return prediction and portfolio optimization. data sourced form simfin yahoo finance and s&p 500 earnings and estimate report etc. 7/22/18 8:14 2/17/21 14:39 383.0 ✔️ ⭐x3
stock-trading-ml lstm model using keras to predict msft prices. Data is from alphavantage which provides some free data through web services. Showing how to use concatenation layer to join timeseries data with TA data. Might be abit of overfitting on the model though 10/10/19 9:44 10/12/19 11:38 340.0 ✔️ ⭐x3
ML_Finance_Codes accompanying materials for book Machine Learning in Finance covering probabilistic modeling/sequence modeling/neural networks/reinforcement learning etc. 9/27/19 16:13 6/13/20 21:20 250.0 ✔️ ⭐x3
mlfinlab open source library maintained by hudson and thames though much of the content has moved to a subscription model. Idea is to implement academic research in python code and aggregate it as a package. Sources from Journal of financial data science / journal of portfolio management / journal of algorithmic finance / cambridge university press 2/13/19 16:57 4/12/21 10:50 2295.0 ✔️ ⭐x3
mosquito base framework trading bot for crypto. Stores data in local mongodb instance and supports backtest and live trading on poloniex and bittrex which are 12-15th ranked crypto exchanges by volume. Leverage talib for ta data and plotly for visualization 6/18/17 19:57 3/14/21 22:22 220.0 ✔️ ⭐x3
Short-Term Movement Cues Identify social/historical cues for short term stock movement. Sklearn SVM model is used and good visualization coded in matplotlib 9/12/16 18:38 8/29/18 20:27 2166.0 ✖️ ⭐x3
Data Processing Techniques and Transformations (Wiki )
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Advanced ML Exercises to book advances in financial machine learning . Relevant topics include data cleaning and outlier detection (using MAD) 4/25/18 17:22 1/16/20 17:25 973.0 ✔️ ⭐x4
Google-Finance-Stock-Data-Analysis data processing platform which stream data from kafka. The example shows two incoming data stream stock vs tweets and two spark streams are created to consume the kafka data then end results are stored in cassandra. Older tech stacks were used and not actively maintained. 7/23/17 2:59 7/23/17 3:10 70.0 ✖️ ⭐x3
Twitter-Trends sentiment analysis baed on twitter data. Relevant topics include data cleaning/tokenization/data aggregation using mangodb etc. 5/22/17 17:07 5/23/17 8:06 66.0 ✖️ ⭐x3
finserv-application-blueprint generate streamable data using mapr converged data platfrom built mostly in java. Uses apache zepplin for web visualization 9/26/16 19:42 1/20/21 23:07 72.0 ✖️ ⭐x2
cointrader java based platform for trading crypto. Relevant sections including using esper event queries to transform data and place orders 6/1/14 1:14 10/22/20 0:24 339.0 ✔️ ⭐x2
CryptoNets CryptoNets is a demonstration of the use of Neural-Networks over data encrypted with Homomorphic Encryption . Homomorphic Encryptions allow performing operations such as addition and multiplication over data while it is encrypted. 6/2/19 5:48 9/12/19 13:03 154.0 ✔️ ⭐x2
Portfolio Selection and Optimisation (Wiki )
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Online Portfolio Selection ****Comparing OLPS algorithms on a diversified set of ETFs. nan nan nan ✔️
Modern Portfolio Theory Universal portfolios; modern portfolio theory. nan nan nan ✔️
OLMAR Algorithm Relative importance of each component of the OLMAR algorithm. 7/26/16 16:20 12/30/16 11:40 7.0 ✖️
Riskfolio-Lib NEW 3/2/20 19:49 4/1/21 3:50 371.0 ✔️
Reinforcement Learning Reinforcement Learning for Portfolio Management. 10/7/17 9:14 6/26/18 9:22 364.0 ✖️
DeepDow Portfolio optimization with deep learning. 2/2/20 8:46 2/16/21 18:50 311.0 ✔️
Distribution Characteristic Optimisation Extends classical portfolio optimisation to take the skewness and kurtosis of the distribution of market invariants into account. 11/16/18 12:20 7/4/19 1:41 232.0 ✔️
PyPortfolioOpt Financial portfolio optimisation, including classical efficient frontier and advanced methods. 5/29/18 13:30 2/25/21 13:01 1895.0 ✔️
401K Portfolio Optimisation Portfolio analyses and optimisation for 401K. 8/1/18 19:48 9/5/19 11:18 14.0 ✔️
Policy Gradient Portfolio A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem. 11/12/17 16:08 5/9/19 9:50 1281.0 ✔️
riskparity.py NEW 7/13/19 21:30 1/30/21 1:53 124.0 ✔️
Deep Portfolio Theory Autoencoder framework for portfolio selection. 2/10/17 9:03 3/8/18 16:47 105.0 ✖️
Efficient Frontier Modern Portfolio Theory. 2/17/18 8:19 2/27/18 13:16 104.0 ✖️
node-finance NEW 9/17/11 17:49 4/5/21 8:01 101.0 ✔️
Factor and Risk Analysis (Wiki )
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Machine_learning_In_Finance NEW 8/3/19 4:04 8/3/19 4:05 8.0 ✔️
stock-market-analysis-using-python-numpy-pandas NEW 4/10/18 5:15 4/10/18 5:28 8.0 ✖️
-L- NEW 10/28/19 21:50 10/28/19 21:51 6.0 ✔️
TradeFinexLive NEW 3/21/18 10:05 3/18/21 9:48 5.0 ✔️
VaR GaN Estimate Value-at-Risk for market risk management using Keras and TensorFlow. 8/6/18 16:09 11/22/20 19:02 41.0 ✔️
Various Risk Measures Risk measures and factors for alternative and responsible investments. 8/7/17 14:44 8/8/17 22:52 4.0 ✖️
Pyfolio Portfolio and risk analytics in Python. 6/1/15 15:31 2/28/20 17:30 3673.0 ✔️
CAPM Expected returns using CAPM. 5/10/16 11:03 5/17/16 3:44 31.0 ✖️
Risk Basic Active portfolio risk management . 5/10/16 11:03 5/17/16 3:44 31.0 ✖️
Quant Finance General quant repository. 8/11/18 22:59 11/12/19 4:49 31.0 ✔️
Factor Analysis Factor analysis for mutual funds. 3/13/18 7:39 3/13/18 7:42 3.0 ✖️
Statistical Finance Various financial experiments. 10/4/15 9:10 3/28/20 18:33 21.0 ✔️
Performance Analysis Performance analysis of predictive (alpha) stock factors. 6/3/16 21:49 4/27/20 18:40 1847.0 ✔️
Convex Optimisation Convex Optimization for Finance. 6/26/18 20:36 10/22/19 21:56 18.0 ✔️
Factor Analysis Factor strategy notebooks. 5/1/17 7:36 4/7/21 15:25 172.0 ✔️
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NLP This project assembles a lot of NLP operations needed for finance domain. nan nan nan ✔️
Financial Statement Sentiment Extracting sentiment from financial statements using neural networks. 6/4/18 20:54 6/4/18 20:56 8.0 ✖️
Extensive NLP Comprehensive NLP techniques for accounting research. 10/25/17 7:10 6/5/20 3:28 73.0 ✔️
NLP Event Applying Deep Learning and NLP in Quantitative Trading. 7/2/18 23:50 1/31/19 14:08 70.0 ✖️
Financial Sentiment Analysis Sentiment, distance and proportion analysis for trading signals. 6/23/17 0:05 1/26/19 3:35 48.0 ✖️
Fund classification Fund classification using text mining and NLP. 4/16/18 22:18 6/7/18 22:01 4.0 ✖️
Earning call transcripts Correlation between mutual fund investment decision and earning call transcripts. 12/30/17 8:56 1/11/18 2:11 3.0 ✖️
news-emotion NEW 9/14/17 2:59 6/11/18 13:47 245.0 ✖️
awesome-financial-nlp NEW 10/3/19 3:53 2/1/20 8:28 226.0 ✔️
FinNLP-Progress NEW 5/21/20 9:59 3/23/21 8:14 164.0 ✔️
financial-news-dataset NEW 8/23/16 13:29 3/4/21 6:34 154.0 ✔️
FinBERT NEW 7/9/19 16:34 5/19/20 2:02 140.0 ✔️
Accounting Anomalies Using deep-learning frameworks to identify accounting anomalies. 5/24/17 12:36 8/7/19 21:47 110.0 ✔️
BDCI2019-Negative_Finance_Info_Judge NEW 12/27/19 3:49 12/4/20 3:38 107.0 ✔️
Buzzwords Return performance and mutual fund selection. 2/4/18 21:51 2/4/18 21:57 1.0 ✖️
Derivatives and Hedging (Wiki )
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Options Black Scholes and Copula. nan nan nan ✔️
Derivative Markets The economics of futures, futures, options, and swaps. 2/9/16 5:30 4/6/21 20:49 8.0 ✔️
Volatility and Variance Derivatives Volatility derivatives analytics. 10/21/16 4:12 2/22/21 13:32 79.0 ✔️
tda-api NEW 4/3/20 21:19 4/12/21 3:12 649.0 ✔️
Strata NEW 6/16/14 11:45 4/12/21 6:32 607.0 ✔️
FinanceDatabase NEW 1/28/21 18:36 4/8/21 11:10 595.0 ✔️
gs-quant NEW 12/14/18 21:10 3/25/21 15:33 584.0 ✔️
wallstreet NEW 1/20/16 22:03 8/9/19 23:14 570.0 ✔️
algotrader NEW 4/10/18 2:31 8/27/20 8:16 477.0 ✔️
FinancePy NEW 10/27/19 15:04 3/11/21 21:40 441.0 ✔️
Hull White Callable Bond, Hull White. 6/6/18 22:06 6/6/18 22:27 4.0 ✖️
optopsy NEW 9/17/17 1:49 12/7/20 17:00 393.0 ✔️
StockSharp NEW 12/8/14 7:53 4/7/21 10:55 3924.0 ✔️
Derivatives Python Derivative analytics with Python. 7/9/15 12:27 2/22/21 13:29 388.0 ✔️
akshare NEW 10/1/19 7:34 4/13/21 11:18 3374.0 ✔️
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Corporate Bonds Predicting the buying and selling volume of the corporate bonds. 9/27/17 19:57 9/27/17 20:00 7.0 ✖️
Vasicek Bootstrapping and interpolation. 7/18/18 19:26 7/18/18 19:34 3.0 ✖️
rating_history NEW 11/23/17 22:52 12/3/17 20:42 26.0 ✖️
market-data NEW 12/7/12 13:42 12/15/12 12:10 25.0 ✖️
woe NEW 9/11/17 7:15 3/1/18 10:45 224.0 ✖️
MagentoExtensions NEW 7/3/14 5:45 11/24/17 16:15 106.0 ✖️
Binomial Tree Utility functions in fixed income securities. 2/2/19 8:44 5/3/19 17:16 1.0 ✔️
Alternative Finance (Wiki )
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Venture Capital NN Cox-PH neural network predictions for VC/innovations finance research. nan nan nan ✔️
Art Valuation Art evaluation analytics. 12/11/14 0:25 12/12/14 21:25 9.0 ✖️
Private Equity Valuation models. 1/27/16 21:13 3/14/16 20:03 8.0 ✖️
Kiva Crowdfunding Exploratory data analysis. 2/27/18 16:46 2/13/19 0:15 5.0 ✖️
Watch Valuation Analysis of luxury watch data to classify whether a certain model is likely to be over-or undervalued. 2/8/17 18:39 4/27/17 22:55 4.0 ✖️
Venture Capital Insight into a new founder to make data-driven investment decisions. 12/4/17 8:59 12/13/17 5:35 3.0 ✖️
VC OLS VC regression. 3/29/18 23:31 3/29/18 23:33 2.0 ✖️
Blockchain Repository for distributed autonomous investment banking. 9/5/16 19:12 4/24/17 10:48 12.0 ✖️
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Commodity Commodity influence over Brazilian stocks. nan nan nan ✔️
Real Estate Property Fraud Unsupervised fraud detection model that can identify likely candidates of fraud. nan nan nan ✔️
Behavioural Economics Behavioural Economics and Finance Python Notebooks. 12/20/18 0:21 3/26/19 11:51 9.0 ✖️
Corporate Finance Basic corporate finance. 9/9/17 3:35 9/9/17 23:04 9.0 ✖️
NLP Finance Papers Curating quantitative finance papers using machine learning. 10/11/18 20:32 12/24/18 23:27 8.0 ✖️
Applied Corporate Finance Studies the empirical behaviours in stock market. 1/29/18 5:14 7/19/18 6:25 8.0 ✖️
HFT High frequency trading. 7/21/16 5:14 2/14/17 16:47 748.0 ✖️
Financial Economics Financial Economics Models. 11/9/14 4:49 12/3/18 16:30 713.0 ✖️
Mathematical Finance Notebooks for math and financial tutorials. 1/21/17 11:24 8/1/20 17:03 664.0 ✔️
Backtests Trading data and algorithms. 9/16/18 20:00 9/5/20 13:01 620.0 ✔️
Liquidity and Momentum Various factors and portfolio constructions. 8/11/18 22:59 11/12/19 4:49 31.0 ✔️
Life-cycle Company life cycle. 1/19/19 18:16 2/18/19 16:57 3.0 ✖️
M&A Mergers and Acquisitions. 1/19/19 18:16 2/18/19 16:57 3.0 ✖️
Currency PCA Forex spots PCA. 3/12/19 21:11 3/12/19 22:09 3.0 ✖️
Deep Portfolio Deep learning for finance Predict volume of bonds. 5/8/18 19:34 5/9/18 15:39 27.0 ✖️
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Basic Investments Basic investment tools in python. 8/2/17 21:52 8/17/17 3:24 9.0 ✖️
Mathematical Finance NYU Math-GA 2048: Scientific Computing in Finance. 1/25/15 21:10 3/25/20 4:24 69.0 ✔️
Algo Trading Intro to algo trading. 10/29/17 20:34 1/22/19 6:56 64.0 ✖️
Risk Management Finance risk engagement course resources. 10/3/18 16:26 12/13/18 8:04 6.0 ✖️
Basic Derivatives Basic forward contracts and hedging. 8/24/17 0:11 10/13/17 1:32 4.0 ✖️
Machine Learning for Trading Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading. 5/9/18 12:33 4/10/21 22:21 3842.0 ✔️
ML Specialisation Machine Learning in Finance. 1/24/19 2:55 1/3/20 21:54 34.0 ✔️
Python for Finance CEU python for finance course material. 12/12/17 11:54 2/25/20 20:31 16.0 ✔️
Handson Python for Finance Hands-on Python for Finance published by Packt. 8/20/18 14:10 1/15/21 8:57 121.0 ✔️
Basic Finance Source code notebooks basic finance applications. 5/6/17 2:39 6/21/17 4:04 10.0 ✖️
Colleges, Centers and Departments (Wiki ) 
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