RudyMorel / scattering_spectraLinks
Scattering Spectra used for the analysis and generation of time-series
☆37Updated 6 months ago
Alternatives and similar repositories for scattering_spectra
Users that are interested in scattering_spectra are comparing it to the libraries listed below
Sorting:
- esig python package☆48Updated 7 months ago
- Iterated integral signature calculations☆106Updated last month
- Random Matrix Theory library - RMT analysis and simulation in Python☆48Updated last year
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆50Updated 4 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆53Updated 6 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Signax: Signature computation in JAX☆30Updated 5 months ago
- ☆27Updated last year
- Robust pricing and hedging via Neural SDEs☆36Updated 3 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- A Python library for vine copula models☆107Updated 2 months ago
- ☆68Updated last month
- Implements Path Shadowing Monte Carlo (PSMC).☆73Updated 6 months ago
- Python implementation of fractional brownian motion☆61Updated 4 years ago
- Market simulator☆60Updated 4 years ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated 2 weeks ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Chirp instantaneous frequency estimation using stochastic differential equation Gaussian processes☆12Updated 8 months ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆20Updated 10 months ago
- Fractional Brownian Motion package☆11Updated 3 years ago
- The Rational-Macro Agent Based Model. A Python (multi-agent) reinforcement learning interface of the "CATS" model.☆8Updated 6 months ago
- ☆19Updated 7 years ago
- Lightweight library of stochastic gradient MCMC algorithms written in JAX.☆104Updated last year
- ☆28Updated last month
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Black-Box Inference foR Differentiable Simulators☆20Updated 8 months ago