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constrainedspline

Work in progress on using cvxopt to build constrained splines (for financial surfaces)

cpp-argparse

Python's excellent ArgumentParser in C++

cvx_cvxopt

Exercises from the Software Tools Course on CVX and CVXOPT

cvxfin

Portfoliooptimization and Regression using cvxopt

cvxopt-cplxl1regls

Optimized version of a complex domain l1-regularized least squares solver (e.g. LASSO and BPDN)

datasharing

The Leek group guide to data sharing

differential-evolution-for-portfolio-optimisation

A Python implementation of Differential Evolution, used in the context of Portfolio Optimization.

dig

C/C++ time series data mining library

dspfilters

A Collection of Useful C++ Classes for Digital Signal Processing

easykf

C++ Kalman filtering (Extended Kalman Filter, Unscented Kalman Filter)

eigenpca

A class for performing principal component analysis using Eigen library

extended-kalman-filter

C++ implementation of Extended Kalman Filter.

financialoptimization

financial optimization models in Matlab using cvxopt

flow

Python package for portfolio analysis.

forecast

forecast package for R

forecasting

Template for statistical forecasting using Holt-Winters Exponential Smoothing, Autoregressive Integrated Moving Averages, and Locally Weighted Scatterplot Smoothing Regression

genesis-viii

Simulation package to generate quantitative risk models for time series data using genetic programming.

github-cheat-sheet

A list of cool features of Git and GitHub.

gridga

Genetic algorithm designed to wrap an existing executable or script, and run on a Condor compute cluster (grid). Written in C++.

groupstatistics

heuristics

a tabu heuristic

higgs-statistics

Statistics Code

htcondor-history-probe

Store condor job history in a database for analytics

imbox

Python IMAP for Human beings

investment

My Fiddling with Investment Strategies and tools for tracking my own Portfolio.

irls

C++ implementation of IRLS algorithm for generalized linear model

job-tracking

Repo for code to track and visualize condor job status and statistics

kalman

Header-only C++11 Kalman Filtering Library (EKF, UKF) based on Eigen3

kalman-1

Source code for Kalman filters research

kalman-2

A simplified one dimensional Kalman filter implementation for Arduino.