AlejandroSantorum / scikit-rmt
Random Matrix Theory library - RMT analysis and simulation in Python
☆46Updated 10 months ago
Alternatives and similar repositories for scikit-rmt:
Users that are interested in scikit-rmt are comparing it to the libraries listed below
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆46Updated last year
- esig python package☆44Updated last month
- ☆24Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆31Updated 3 years ago
- PyTorch code of "Modeling Continuous Stochastic Processes with Dynamic Normalizing Flows" (NeurIPS 2020)☆47Updated 4 years ago
- Gaussian processes regression models with linear inequality constraints☆14Updated 7 months ago
- Signax: Signature computation in JAX☆26Updated 2 weeks ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆52Updated 2 years ago
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆53Updated 8 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆45Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 4 months ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆45Updated 3 years ago
- Light-weighted code for Orthogonal Additive Gaussian Processes☆41Updated 6 months ago
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated 2 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated 8 months ago
- Sequential Neural Likelihood☆39Updated 5 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆23Updated last year
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- ☆13Updated 2 years ago
- Code for Hidden Markov Nonlinear ICA☆24Updated 3 years ago
- ☆18Updated 6 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆92Updated 6 months ago
- Neat Bayesian machine learning examples☆54Updated 3 weeks ago
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆48Updated 2 years ago
- Bayesian inference with Python and Jax.☆32Updated 2 years ago
- Example applications of path signatures☆37Updated this week
- Market simulator☆57Updated 4 years ago