Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
☆76Feb 5, 2018Updated 8 years ago
Alternatives and similar repositories for pyRMT
Users that are interested in pyRMT are comparing it to the libraries listed below
Sorting:
- A Library for Denoising Single-Cell Data with Random Matrix Theory☆37Aug 16, 2023Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Jul 6, 2023Updated 2 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆54Oct 14, 2025Updated 4 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆62Jul 5, 2022Updated 3 years ago
- ☆71Jun 13, 2025Updated 8 months ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 5 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆10Jun 8, 2017Updated 8 years ago
- Quant finance scripts☆15Apr 13, 2025Updated 10 months ago
- Robust and scalable inference of cell lineages via consensus clustering. Features novel algorithms for the comparison of weighted graphs …☆14Jan 16, 2017Updated 9 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- CVXPY Portfolio Optimization Sample☆45Feb 4, 2017Updated 9 years ago
- Code for the paper Volatility is (mostly) path-dependent☆74Mar 22, 2024Updated last year
- Non-Linear Covariance Shrinkage☆14Jan 1, 2022Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 4 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Apr 9, 2020Updated 5 years ago
- Python versions of nearest correlation matrix algorithms☆40Jan 16, 2019Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆23Jun 24, 2022Updated 3 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆42Jun 16, 2024Updated last year
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- A Python implementation of the rough Bergomi model.☆140Sep 17, 2018Updated 7 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago