Some of my ML projects and Kaggle competitions

My solutions for leetcode with explanations

Robust PCA implementation and examples (Matlab)

Systematic Investor Toolkit

https://arxiv.org/abs/1805.01104

Example code of simple things one can do with our open-source asset pricing data

Applying Deep Learning and NLP in Quantitative Trading

Ledoit-Wolf covariance matrix estimator of stock returns

Must-read Papers on pre-trained language models.

Machine Learning Practice Codes

Replication files for "A Robust Machine Learning Algorithm for Text Analysis"

Replication code for "Robust Text Analysis"

Fall 2023 rendition of CSCI 4360/6360 Data Science II.

A package for shrinkage estimation of covariance matrices

Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)

PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics

A curated list of practical financial machine learning tools and applications.

Functions for the construction of risk-based portfolios

Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.

ISLP package: data and code for labs

Up-to-date version of labs for ISLP

This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in collaboration with Optiver and have been peer-reviewed by st…

Tool to support backtests

Additional exercises and data for EE364a. No solutions; for public consumption.

My notes from the first year courses for the Stanford statistics PhD program

Run hierarchical risk parity algorithms