tensorflow_quant

Quantitative (Finance and Math) tool writen in python and tensorflow.

Key Packages Used

1. tensorflow
2. tensorflow-probability
3. tensorflow-ranking
4. tf-quant-finance
5. sklearn

Topics Covered

1. Covariances Estimation
2. General unconstrained/constrained optimization
3. Univariate Constrained Gaussian Mixture Model (Constrained-GMM)
4. Portfolio Optimization
   1. Sharpe Ratio Maximization
5. Trading Strategies:
   1. Cross Sectional Momentum with Learn-To-Rank algorithm
   2. Tiny CTA
6. Gaussian Process Latent Variable Model
7. Constrained PCA (Positive Weights)
8. Independent Components (ICA)

TODO

1. learn_to_rank_LSTM
2. Discover other momentum-like strategies using LTR algorithm