Popular Modules
Financial Data Structures
Standard: Tick, Volume, Dollar bars. Information-Driven Bars: Imbalance and Run Bars (Tick, Volume, Dollar).
Labelling Techniques
Triple-Barrier, Meta-Labeling, Trend Scanning, Tail-Sets, Matrix Flags, Excess Over Mean/Median, Return Vs. Benchmark.
Feature Engineering
Fractionally Differentiated, Structural Breaks (CUSUM, Explosiveness Tests), Market-Microstructural.
Machine Learning
Sampling, Sequentially Bootstrapped Ensembles, Feature Importance (MDI, MDA, Model Fingerprint), Cross-Validation(Purged, Embargo), Bet Sizing (EF3M).
Portfolio Optimization
Mean-Variance, Black-Litterman, Hierarchical Risk Parity, Hierarchical Equal Risk Contribution, Nested Clustered Optimization.
Risk Estimators
Min Cov Determinant, MLE Covariance Estimator, Shrinkage, De-noising and De-toning, Hierarchical Cluster Filtering, Theory Implied Correlation.
Online Portfolio Selection
Benchmarks, Momentum, Mean Reversion (PAMR, OLMAR), Pattern Matching (CORN, SCORN, FCORN, FCORN-K), Universal Portfolios.
Codependence and Networks
Codependence, Distance Metrics, Hierarchies, Clustering, Minimum Spanning Trees, Optimal Transport, Planar Maximally Filtered Graphs.
Synthetic Data Generation
Related to Correlation Matrices: CorrGAN, Vines (R, C, D, Partial Correlation), Extended Onion Method, Hierarchical Correlation Block Model.