akononovicius / arfimaLinks
Python implementation of ARFIMA process with an aim to simulate series.
☆21Updated 4 years ago
Alternatives and similar repositories for arfima
Users that are interested in arfima are comparing it to the libraries listed below
Sorting:
- 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
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- ☆70Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- ☆21Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- ☆12Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- ☆17Updated 4 years ago
- ☆16Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Run hierarchical risk parity algorithms☆50Updated this week
- ☆25Updated last month
- ☆15Updated 4 years ago
- Quant finance scripts☆16Updated 8 months ago