frameworks.md

Algorithmic Trading & Portfolio Optimization: Useful Frameworks

List of programming frameworks, libraries, and web services that have rich implementation of Portfolio Optimization approaches & Algorithmic Trading.

• Portfolio Optimization
  • Python
  • R
  • REST API
• Algorithmic Trading
  • Repositories
• Time Series
  • Frameworks
  • Review
• Graphs
  • Frameworks

Portfolio Optimization

Python

Packages:

• PortfolioLab
• DeepDow
• PyPortfolioOpt
• Quantopian Pyfolio
• SciPy #core
• ZipLine
• Riskfolio Lib
• Empyrial
• Okama
• Qlib
• FinQuant

Repositories:

• VivekPa Optimal Portfolio
• Deep Portfolio Management

R

Packages:

• Tidyquant

• PortfolioAnalytics

  • Official Repo & Demos, github.com
  • Portfolio starter kit post
  • Advanced Moment Estimation & Optimization with PortfolioAnalytics slides
  • Tidy PortfolioManagement in R book
  • Custom Moment and Objective Functions package

  Lists:

  • Empirical Finance List

REST API

• PortfolioOptimizer.io
• PortfoliosLab

Algorithmic Trading

Repositories

• PyAlgoTrade
• AIAlpha #deep-leaning #price-prediction
• Hummingbot #crypto #market-making
• A3C trading #reinforcement-learning

Time Series

List of stuff for analysis, forecasting, and outlier detection

Frameworks

• Facebook Kats #python
• Prophet #python #R
• GluonTS #python
• FEDOT: AutoML for time series #python
• PyTorch Forecasting #python
• ETNA #python
• timetk #R
• tsibble #R
• smooth #R
• forecast #R
• Microsoft Finance Time Series Forecasting Framework #R
• PyOD: Python Outlier Detection #python
• Darts: user-friendly forecasting and anomaly detection
• Merlion #python
• Time-LLM: Time Series Forecasting by Reprogramming LLM #python #LLM

Review

• Popular Python Time Series Packages #python
• Merlion's key features compare to other libraries)

Graphs

Frameworks

• PyG
• DGL
• NetworkX: general graph analysis
• PyVis: interactive graph visualizations
• RedisGraph
• Tensorflow GNN.