HKUST Convex Optimization in Finance Group

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9 repositories

.github
Public
0•0•0•0•Updated Mar 10, 2025Mar 10, 2025
riskparity.rs
Public
Implementations of risk parity portfolios in Rust
Rust
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MIT License
•2•3•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
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MIT License
•71•295•5•0•Updated May 27, 2024May 27, 2024
intradayModel
Public
Modeling of intraday volatility and volume in financial markets
R
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Apache License 2.0
•5•15•0•0•Updated May 29, 2023May 29, 2023
fingraph
Public
Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)
R
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MIT License
•16•37•1•0•Updated May 28, 2023May 28, 2023
bipartite
Public
Learning Bipartite Graphs: Heavy Tails and Multiple Components (NeurIPS 2022)
R
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MIT License
•2•4•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
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GNU General Public License v3.0
•4•22•0•0•Updated May 24, 2023May 24, 2023
spectralGraphTopology
Public
Structured Graph Learning via Laplacian Spectral Constraints (NeurIPS 2019)
machine-learning clustering
R
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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
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MIT License
•7•4•0•0•Updated Aug 29, 2022Aug 29, 2022