Alternatives and similar repositories for fattails

Users that are interested in fattails are comparing it to the libraries listed below

• MarcosCarreira / StatisticalConsequencesOfFatTails
  Python / R / Mathematica / ___ code and commentaries based on Nassim Taleb's "Statistical Consequences of Fat Tails" - Feel free to contr…
  ☆89Updated 5 years ago
• quantopian / bayesalpha
  Bayesian models to compute performance and uncertainty of returns and alpha.
  ☆113Updated 2 years ago
• differential-machine-learning / notebooks
  Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…
  ☆145Updated 3 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆104Updated 2 years ago
• microprediction / precise
  World beating online covariance and portfolio construction.
  ☆311Updated 3 months ago
• asavine / CompFinLecture
  Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
  ☆68Updated 6 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆61Updated 3 years ago
• Technical-Incerto-Reading-Club / code-examples
  Repository for the code examples backing each meet-up session
  ☆30Updated 3 years ago
• rubenbriones / Probabilistic-Sharpe-Ratio
  Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)
  ☆128Updated 5 years ago
• Technical-Incerto-Reading-Club / technical-incerto-reading-club
  This repository contains a website for the Technical Incerto Reading Club meetup group.
  ☆69Updated 2 months ago
• cvxgrp / cov_pred_finance
  ☆70Updated 7 months ago
• jason-ash / pyesg
  Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.
  ☆141Updated 2 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆101Updated 3 weeks ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆73Updated last year
• deepintomlf / mlfbook
  ☆80Updated 4 years ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆87Updated last year
• crunchdao / quickstarters-adialab
  ☆50Updated 2 years ago
• zoonek / 2025-sharpe-ratio
  Code for the paper "How to use the Sharpe ratio"
  ☆86Updated last month
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 3 years ago
• OVVO-Financial / NNS
  Nonlinear Nonparametric Statistics
  ☆101Updated last week
• mdengler / cla
  An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
  ☆36Updated 3 years ago
• ahgperrin / PyCurve
  PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…
  ☆52Updated 4 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆124Updated 2 years ago
• cvxgrp / simulator
  Tool to support backtests
  ☆49Updated this week
• omartinsky / QuantAndFinancial
  This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com
  ☆135Updated 4 years ago
• robertmartin8 / pValuation
  Quantamental finance research with python
  ☆154Updated 3 years ago
• thk3421-models / KellyPortfolio
  A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations
  ☆89Updated 7 months ago
• shaunlinz02 / two_factor_quintic_ou
  implementation of the two-factor quintic OU model
  ☆12Updated 10 months ago
• giotto-ai / stock-market-crashes
  How to detect stock market crashes with topology.
  ☆83Updated 4 years ago