SaremS / sample_notebooksLinks
Loose collection of Jupyter notebooks, mostly for my blog
☆28Updated last year
Alternatives and similar repositories for sample_notebooks
Users that are interested in sample_notebooks are comparing it to the libraries listed below
Sorting:
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- ☆25Updated last month
- Portfolio optimization with cvxopt☆40Updated last month
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- ☆70Updated 7 months ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- ☆24Updated 4 years ago
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆21Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 9 months ago
- ☆12Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 3 years ago
- ☆27Updated last year
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Quant finance scripts☆16Updated 9 months ago
- Stochastic volatility models☆18Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆46Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year