└── README.md /README.md: -------------------------------------------------------------------------------- 1 | # Financial Machine Learning and Data Science 2 | 3 | A curated list of practical financial machine learning (FinML) tools and applications. This collection is primarily in Python. 4 | 5 | If you want to contribute to this list (please do), send me a pull request or contact me [@dereknow](https://twitter.com/dereknow) or on [linkedin](https://www.linkedin.com/in/snowderek/). Also, a listed repository should be deprecated if: 6 | 7 | - Repository's owner explicitly say that "this library is not maintained". 8 | - Not committed for long time (2~3 years). 9 | # Trading 10 | ## Deep Learning 11 | - [Deep Learning](https://github.com/keon/deepstock) - Technical experimentations to beat the stock market using deep learning. 12 | - [Deep Learning II](https://github.com/LiamConnell/deep-algotrading/tree/master/notebooks) - Tensorflow Regression. 13 | - [Deep Learning III](https://github.com/Rachnog/Deep-Trading) - Algorithmic trading with deep learning experiments. 14 | - [Deep Learning IV](https://github.com/achillesrasquinha/bulbea) - Bulbea: Deep Learning based Python Library. 15 | - [LTSM GRU](https://github.com/RajatHanda/Finance-Forecasting) - Stock Market Forecasting using LSTM\GRU. 16 | - - Multilayer neural network architecture for stock return prediction. 17 | - [LTSM Recurrent](https://github.com/VivekPa/AIAlpha) - OHLC Average Prediction of Apple Inc. Using LSTM Recurrent Neural Network. 18 | - [ARIMA-LTSM Hybrid](https://github.com/imhgchoi/Corr_Prediction_ARIMA_LSTM_Hybrid) - Hybrid model to predict future price correlation coefficients of two assets. 19 | - [Neural Network](https://github.com/VivekPa/IntroNeuralNetworks) - Neural networks to predict stock prices. 20 | - [AI Trading](https://github.com/borisbanushev/stockpredictionai/blob/master/readme2.md) - AI to predict stock market movements. 21 | 22 | 23 | ## Reinforcement Learning 24 | - [RL Trading](https://colab.research.google.com/drive/1FzLCI0AO3c7A4bp9Fi01UwXeoc7BN8sW) - A collection of 25+ Reinforcement Learning Trading Strategies - Google Colab. 25 | - [RL](https://github.com/kh-kim/stock_market_reinforcement_learning) - OpenGym with Deep Q-learning and Policy Gradient. 26 | - [RL II](https://github.com/deependersingla/deep_trader) - reinforcement learning on stock market and agent tries to learn trading. 27 | - [RL III](https://github.com/samre12/deep-trading-agent) - Github - Deep Reinforcement Learning based Trading Agent for Bitcoin. 28 | - [RL IV](https://github.com/jjakimoto/DQN) - Reinforcement Learning for finance. 29 | - [RL V](https://github.com/gstenger98/rl-finance) - Building an Agent to Trade with Reinforcement Learning. 30 | - [Pair Trading RL](https://github.com/shenyichen105/Deep-Reinforcement-Learning-in-Stock-Trading) - Using deep actor-critic model to learn best strategies in pair trading. 31 | ## Other Models 32 | - [Mixture Models I](https://github.com/BlackArbsCEO/Mixture_Models) - Mixture models to predict market bottoms. 33 | - [Mixture Models II](https://github.com/BlackArbsCEO/mixture_model_trading_public) - Mixture models and stock trading. 34 | - [Scikit-learn Stock Prediction](https://github.com/robertmartin8/MachineLearningStocks) - Using python and scikit-learn to make stock predictions. 35 | - [Fundamental LT Forecasts](https://github.com/Hvass-Labs/FinanceOps) - Research in investment finance for long term forecasts. 36 | - [Short-Term Movement Cues](https://github.com/anfederico/Clairvoyant) - Identify social/historical cues for short term stock movement. 37 | - [Trend Following](http://inseaddataanalytics.github.io/INSEADAnalytics/ExerciseSet2.html) - A futures trend following portfolio investment strategy. 38 | 39 | 40 | ## Data Processing Techniques and Transformations 41 | - [Advanced ML](https://github.com/BlackArbsCEO/Adv_Fin_ML_Exercises) - Exercises too Financial Machine Learning (De Prado). 42 | - [Advanced ML II](https://github.com/hudson-and-thames/research) - More implementations of Financial Machine Learning (De Prado). 43 | 44 | 45 | # Portfolio Management 46 | ## Portfolio Selection and Optimisation 47 | - [Distribution Characteristic Optimisation](https://github.com/VivekPa/OptimalPortfolio) - Extends classical portfolio optimisation to take the skewness and kurtosis of the distribution of market invariants into account. 48 | - [Reinforcement Learning](https://github.com/filangel/qtrader) - Reinforcement Learning for Portfolio Management. 49 | - [Efficient Frontier](https://github.com/tthustla/efficient_frontier/blob/master/Efficient%20_Frontier_implementation.ipynb) - Modern Portfolio Theory. 50 | - [Policy Gradient Portfolio](https://github.com/ZhengyaoJiang/PGPortfolio) - A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem. 51 | - [Deep Portfolio Theory](https://github.com/tcloaa/Deep-Portfolio-Theory) - Autoencoder framework for portfolio selection. 52 | - [401K Portfolio Optimisation](https://github.com/otosman/Python-for-Finance/blob/master/Portfolio%20Optimization%20401k.ipynb) - Portfolio analyses and optimisation for 401K. 53 | - [Online Portfolio Selection](https://nbviewer.jupyter.org/github/paulperry/quant/blob/master/OLPS_Comparison.ipynb) - ****Comparing OLPS algorithms on a diversified set of ETFs. 54 | - [OLMAR Algorithm](https://github.com/charlessutton/OLMAR/blob/master/Part3.ipynb) - Relative importance of each component of the OLMAR algorithm. 55 | - [Modern Portfolio Theory](https://nbviewer.jupyter.org/github/Marigold/universal-portfolios/blob/master/modern-portfolio-theory.ipynb) - Universal portfolios; modern portfolio theory. 56 | ## Factor and Risk Analysis: 57 | - [Various Risk Measures](https://github.com/Jorgencr/Alternative-and-Responsible-Investments/blob/master/Final_masterfile.ipynb) - Risk measures and factors for alternative and responsible investments. 58 | - [Pyfolio](https://github.com/quantopian/pyfolio) - Portfolio and risk analytics in Python. 59 | - [Risk Basic](https://github.com/RJT1990/Active-Portfolio-Management-Notes/blob/master/Chapter%203%2C%20Risk.ipynb) - Active portfolio risk management . 60 | - [CAPM](https://github.com/RJT1990/Active-Portfolio-Management-Notes/blob/master/Chapter%202%2C%20CAPM.ipynb) - Expected returns using CAPM. 61 | - [Factor Analysis](https://github.com/garvit-kudesia91/factor_analysis/blob/master/Factor%20Analysis%20of%20Mutual%20Funds.ipynb) - Factor analysis for mutual funds. 62 | - [VaR GaN](https://github.com/hamaadshah/market_risk_gan_keras) - Estimate Value-at-Risk for market risk management using Keras and TensorFlow. 63 | - [VaR](https://github.com/willb/var-notebook/blob/master/var-notebook/var-pdfs.ipynb) - Value-at-risk calculations. 64 | - [Python for Finance](https://github.com/yhilpisch/py4fi/tree/master/jupyter36) - Various financial notebooks. 65 | - [Performance Analysis](https://github.com/quantopian/alphalens) - Performance analysis of predictive (alpha) stock factors. 66 | - [Quant Finance](https://github.com/mrefermat/quant_finance) - General quant repository. 67 | - [Risk and Return](https://github.com/PyDataBlog/Python-for-Data-Science/tree/master/Tutorials) - Riskiness of portfolios and assets. 68 | - [Convex Optimisation](https://github.com/ssanderson/convex-optimization-for-finance/blob/master/notebooks/Main.ipynb) - Convex Optimization for Finance. 69 | - [Factor Analysis](https://github.com/alpha-miner/alpha-mind/tree/master/notebooks) - Factor strategy notebooks. 70 | - [Statistical Finance](https://github.com/mrefermat/FinancePhD/tree/master/FinancialExperiments) - Various financial experiments. 71 | 72 | 73 | 74 | # Techniques 75 | ## Unsupervised: 76 | - [PCA Pairs Trading](https://github.com/joelQF/quant-finance/tree/master/Artificial_IntelIigence_for_Trading) - PCA, Factor Returns, and trading strategies. 77 | - [Fund Clusters](https://github.com/frechfrechfrech/Mutual-Fund-Market-Clusters/blob/master/Initial%20Data%20Exploration.ipynb) - Data exploration of fund clusters. 78 | - [VRA Stock Embedding](https://github.com/ml-hongkong/stock2vec) - Variational Reccurrent Autoencoder for Embedding stocks to vectors based on the price history. 79 | - [Industry Clustering](https://github.com/SeanMcOwen/FinanceAndPython.com-ClusteringIndustries) - Clustering of industries. 80 | - [Pairs Trading](https://github.com/marketneutral/pairs-trading-with-ML/blob/master/Pairs%2BTrading%2Bwith%2BMachine%2BLearning.ipynb) - Finding pairs with cluster analysis. 81 | - [Industry Clustering](https://github.com/SeanMcOwen/FinanceAndPython.com-ClusteringIndustries) - Project to cluster industries according to financial attributes. 82 | 83 | 84 | ## Textual: 85 | - [NLP](https://github.com/toamitesh/NLPinFinance) - This project assembles a lot of NLP operations needed for finance domain. 86 | - [Earning call transcripts](https://github.com/lin882/WebAnalyticsProject) - Correlation between mutual fund investment decision and earning call transcripts. 87 | - [Buzzwords](https://github.com/swap9047/Cutting-Edge-Technologies-Effect-on-S-P500-Companies-Performance-and-Mutual-Funds) - Return performance and mutual fund selection. 88 | - [Fund classification](https://github.com/frechfrechfrech/Mutual-Fund-Market-Clusters/blob/master/Initial%20Data%20Exploration.ipynb) - Fund classification using text mining and NLP. 89 | - [NLP Event](https://github.com/yuriak/DLQuant) - Applying Deep Learning and NLP in Quantitative Trading. 90 | - [Financial Sentiment Analysis](https://github.com/EricHe98/Financial-Statements-Text-Analysis) - Sentiment, distance and proportion analysis for trading signals. 91 | - [Financial Statement Sentiment](https://github.com/MAydogdu/TextualAnalysis) - Extracting sentiment from financial statements using neural networks. 92 | - [Extensive NLP](https://github.com/TiesdeKok/Python_NLP_Tutorial/blob/master/NLP_Notebook.ipynb) - Comprehensive NLP techniques for accounting research. 93 | - [Accounting Anomalies](https://github.com/GitiHubi/deepAI/blob/master/GTC_2018_Lab-solutions.ipynb) - Using deep-learning frameworks to identify accounting anomalies. 94 | 95 | 96 | # Other Assets 97 | ## Derivatives and Hedging: 98 | - [Options](https://github.com/QuantConnect/Tutorials/tree/master/06%20Introduction%20to%20Options%5B%5D) - Introduction to options. 99 | - [Derivative Markets](https://github.com/broughtj/Fin6470/tree/master/Notebooks) - The economics of futures, futures, options, and swaps. 100 | - [Black Scholes](https://github.com/irajwani/numerical_methods_python/blob/master/black_scholes.ipynb) - Options pricing. 101 | - [Computational Derivatives](https://github.com/chenbowen184/Computational_Finance) - Projects focusing on investigating simulations and computational techniques applied in finance. 102 | - [Reinforcement Learning](https://github.com/FinTechies/HedgingRL) - Hedging portfolios with reinforcement learning. 103 | - [Delta Hedging](https://github.com/RobinsonGarcia/delta-hedging) - Advanced derivatives. 104 | - [Options Risk Measures](https://github.com/wanglouis49/risk_estimation) - Efficient financial risk estimation via computer experiment design (regression + variance-reduced sampling). 105 | - [Derivatives Python](https://github.com/yhilpisch/dawp/tree/master/python36) - Derivative analytics with Python. 106 | - [Volatility and Variance Derivatives](https://github.com/yhilpisch/lvvd/tree/master/lvvd) - Volatility derivatives analytics. 107 | - [Options](https://github.com/PHBS/2018.M1.ASP/tree/master/py) - Black Scholes and Copula. 108 | - [Option Strategies](https://github.com/rstreppa/valuation-OptionStrategies) - Valuation of Vanilla and Exotic option strategies (Butterfly, Risk Reversal etc.) with widget animations. 109 | - [Derman](https://github.com/rstreppa/valuation-convertibles-Goldman1994/blob/master/ConvertibleBond_Goldman1994_Derman.ipynb) - Binomial tree for American call. 110 | - [Hull White](https://github.com/rstreppa/valuation-callables-HullWhite/blob/master/CallableBond_HullWhite.ipynb) - Callable Bond, Hull White. 111 | ## Fixed Income 112 | - [Vasicek](https://github.com/RobinsonGarcia/fixed-income/blob/master/2.0%20Vasicek%20-%20example.ipynb) - Bootstrapping and interpolation. 113 | - [Binomial Tree](https://github.com/hy-lei/math-finance-exercise) - Utility functions in fixed income securities. 114 | - [Corporate Bonds](https://github.com/ishank011/gs-quantify-bond-prediction) - Predicting the buying and selling volume of the corporate bonds. 115 | ## Alternative Finance 116 | - [Kiva Crowdfunding](https://github.com/CJL89/Kiva-Crowdfunding/blob/master/Kiva%20Crowdfunding.ipynb) - Exploratory data analysis. 117 | - [Venture Capital](https://github.com/julian-chan/etothex) - Insight into a new founder to make data-driven investment decisions. 118 | - [Venture Capital NN](https://github.com/tr7200/National-Culture-and-Venture-Capital-Monitoring) - Cox-PH neural network predictions for VC/innovations finance research. 119 | - [Private Equity](https://github.com/TheVinhLuong102/ChicagoBooth-EntrepreneurialFinancePrivateEquity/blob/master/RightNow%20Technologies/RightNow%20Technologies.ipynb) - Valuation models. 120 | - [VC OLS](https://github.com/fionawhitefield/venture-capital-ols/blob/master/sec_project.ipynb) - VC regression. 121 | - [Watch Valuation](https://github.com/alporter08/Luxury-Watch-Valuation/blob/master/Luxury-Watch-Valuation.ipynb) - Analysis of luxury watch data to classify whether a certain model is likely to be over- or undervalued. 122 | - [Art Valuation](https://github.com/ahmedhosny/theGreenCanvas/blob/gh-pages/ImageProcessing1210.ipynb) - Art evaluation analytics. 123 | - [Blockchain](https://github.com/nud3l/dInvest) - Repository for distributed autonomous investment banking. 124 | # Extended Research: 125 | - [HFT](https://github.com/rorysroes/SGX-Full-OrderBook-Tick-Data-Trading-Strategy) - High frequency trading. 126 | - [Deep Portfolio](https://github.com/DLColumbia/DL_forFinance) - Deep learning for finance Predict volume of bonds. 127 | - [Mathematical Finance](https://github.com/Auquan/Tutorials) - Notebooks for math and financial tutorials. 128 | - [NLP Finance Papers](https://github.com/chenbowen184/Research_Documents_Curation_with_NLP) - Curating quantitative finance papers using machine learning. 129 | - [Simulation](https://github.com/chenbowen184/Computational_Finance) - Investigating simulations as part of computational finance. 130 | - [Market Crash Prediction](https://github.com/sarachmax/MarketCrashes_Prediction/blob/master/LPPL_Comparasion.ipynb) - Predicting market crashes using an LPPL model. 131 | - [Commodity](https://github.com/felipessalvatore/fin2vec/blob/master/src/Commodity2BR.ipynb) - Commodity influence over Brazilian stocks. 132 | - [Finance Graph Theory](https://github.com/AvijitGhosh82/Finance_Graph_Theory) - Modelling Contentedness of Firms in Financial Markets with Heterogeneous Agents. 133 | - [Real Estate Property Fraud](https://github.com/aviroop1/Real_Estate_Property_Fraud) - Unsupervised fraud detection model that can identify likely candidates of fraud. 134 | - [Behavioural Economics](https://github.com/pcmichaud/notebooks) - Behavioural Economics and Finance Python Notebooks. 135 | - [Bayesian Finance](https://github.com/marketneutral/alphatools/blob/master/notebooks/pymc3-minimal.ipynb) - Notebook PyMC3 implementation. 136 | - [Bayesian Finance I](https://github.com/AlexIoannides/pymc-stochastic-process/blob/master/bayes_stoch_proc_calib.ipynb) - Stochastic Process Calibration using Bayesian Inference & Probabilistic Programs. 137 | - [Currency PCA](https://github.com/shanemulqueen/python-finance-pca/blob/master/FX_spots_w_PCA.ipynb) - Forex spots PCA. 138 | - [Backtests](https://github.com/AlgoTraders/stock-analysis-engine) - Trading data and algorithms. 139 | - [High Frequency](https://github.com/cswaney/prickle) - A Python toolkit for high-frequency trade research. 140 | - [Financial Economics](https://github.com/rsvp/fecon235/tree/master/nb) - Financial Economics Models. 141 | - [Critical Transitions](https://github.com/ryanholbrook/critical-transitions) - Detecting critical transitions in financial networks with topological data analysis. 142 | - [Economic Foundations](https://github.com/SeanMcOwen/FinanceAndPython.com-EconomicFoundations) - Basic economic models. 143 | - [Corporate Finance](https://github.com/SeanMcOwen/FinanceAndPython.com-CorporateFinance) - Basic corporate finance. 144 | - [Applied Corporate Finance](https://github.com/chenbowen184/Data_Science_in_Applied_Corporate_Finance) - Studies the empirical behaviours in stock market. 145 | - [M&A](https://github.com/atulram/Finance-and-Stocks) - Mergers and Acquisitions. 146 | - [Life-cycle](https://github.com/atulram/Finance-and-Stocks/blob/master/CompanyLifeCycle.ipynb) - Company life cycle. 147 | - [Computational Finance](https://github.com/lnsongxf/Applied_Computational_Economics_and_Finance) - Applied Computational Economics and Finance. 148 | - [Liquidity and Momentum](https://github.com/mrefermat/quant_finance) - Various factors and portfolio constructions. 149 | 150 | 151 | # Courses 152 | - [Mathematical Finance](https://github.com/yadongli/nyumath2048) - NYU Math-GA 2048: Scientific Computing in Finance. 153 | - [Algo Trading](https://github.com/JCreeks/Machine-Learning-in-Finance/tree/master/0_Intro_to_Algo_Trading) - Intro to algo trading. 154 | - [Python for Finance](https://github.com/siaen/python_finance_course) - CEU python for finance course material. 155 | - [Handson Python for Finance](https://github.com/PacktPublishing/Hands-on-Python-for-Finance) - Hands-on Python for Finance published by Packt. 156 | - [Machine Learning for Trading](https://github.com/stefan-jansen/machine-learning-for-trading) - Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading. 157 | - [ML Specialisation](https://github.com/Ahmed0028/Machine-Learning-and-Reinforcement-Learning-in-Finance-Specialization) - Machine Learning in Finance. 158 | - [Risk Management](https://github.com/andrey-lukyanov/Risk-Management) - Finance risk engagement course resources. 159 | - [Basic Investments](https://github.com/SeanMcOwen/FinanceAndPython.com-Investments) - Basic investment tools in python. 160 | - [Basic Derivatives](https://github.com/SeanMcOwen/FinanceAndPython.com-Derivatives) - Basic forward contracts and hedging. 161 | - [Basic Finance](https://github.com/SeanMcOwen/FinanceAndPython.com-BasicFinance) - Source code notebooks basic finance applications. 162 | 163 | 164 | # Data 165 | - [Employee Count SEC Filings](https://github.com/healthgradient/sec_employee_information_extraction) 166 | - [SEC Parsing](https://github.com/healthgradient/sec-doc-info-extraction/blob/master/classify_sections_containing_relevant_information.ipynb) 167 | - [Open Edgar](https://github.com/LexPredict/openedgar) 168 | - [EDGAR](https://github.com/TiesdeKok/UW_Python_Camp/blob/master/Materials/Session_5/EDGAR_walkthrough.ipynb) 169 | - [IRS](http://social-metrics.org/sox/) 170 | - [Rating Industries](http://www.ratingshistory.info/) 171 | - [Web Scraping (FirmAI)](https://github.com/firmai/business-machine-learning/blob/master/www.firmai.org/data) 172 | - [Financial Corporate](http://raw.rutgers.edu/Corporate%20Financial%20Data.html) 173 | - [Non-financial Corporate](http://raw.rutgers.edu/Non-Financial%20Corporate%20Data.html) 174 | - [http://finance.yahoo.com/](http://finance.yahoo.com/) 175 | - [https://fred.stlouisfed.org/](https://fred.stlouisfed.org/) 176 | - [https://stooq.com](https://stooq.com) 177 | - [https://github.com/timestocome/StockMarketData](https://github.com/timestocome/StockMarketData) 178 | 179 | 180 | # Personal Papers 181 | - [Financial Machine Learning Regulation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371902) 182 | - [Predicting Restaurant Facility Closures](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3420490) 183 | - [Predicting Corporate Bankruptcies](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3420889) 184 | - [Predicting Earnings Surprises](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3420722) 185 | - [Machine Learning in Asset Management](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3420952) 186 | 187 | # Colleges, Centers and Departments 188 | 189 | - NYU FRE 190 | - Cornell University 191 | - Courant NYU 192 | - Oxford Man 193 | - Stanford Advanced Financial Technologies 194 | - Berkley CIFT 195 | 196 | 197 | --------------------------------------------------------------------------------