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:
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- ☆25Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- 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
- 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 10 months ago
- ☆70Updated 7 months ago
- Multivariate GARCH modelling in Python☆16Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆20Updated last year
- ☆28Updated last year
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- ☆24Updated 4 years ago
- ☆12Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…☆22Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆57Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆27Updated 3 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- Estimators and analysis for extreme value theory (EVT)☆22Updated 4 years ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆30Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13Updated 7 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 2 weeks ago