AlejandroSantorum / scikit-rmt
Random Matrix Theory library - RMT analysis and simulation in Python
☆48Updated last year
Alternatives and similar repositories for scikit-rmt
Users that are interested in scikit-rmt are comparing it to the libraries listed below
Sorting:
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆47Updated last year
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆49Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆34Updated 3 years ago
- esig python package☆48Updated 5 months ago
- ☆26Updated last year
- Signax: Signature computation in JAX☆28Updated 3 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆54Updated 11 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- PyTorch code of "Modeling Continuous Stochastic Processes with Dynamic Normalizing Flows" (NeurIPS 2020)☆48Updated 4 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Gaussian processes regression models with linear inequality constraints☆14Updated 10 months ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆93Updated 9 months ago
- Large Deviations for volatility options☆13Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Learning Hawkes Processes from a Handful of Events☆13Updated last year
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated 11 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Code for Hidden Markov Nonlinear ICA☆24Updated 3 years ago
- Light-weighted code for Orthogonal Additive Gaussian Processes☆42Updated 9 months ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated 2 weeks ago
- Deep Optimal Stopping Project☆15Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆18Updated 4 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆54Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Lightweight library of stochastic gradient MCMC algorithms written in JAX.☆103Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago