Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python
☆101May 8, 2021Updated 4 years ago
Alternatives and similar repositories for fbm
Users that are interested in fbm are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python implementation of fractional brownian motion☆65Aug 17, 2020Updated 5 years ago
- Generate realizations of stochastic processes in python.☆503Dec 9, 2022Updated 3 years ago
- Multifractal Detrended Fluctuation Analysis in Python☆158Aug 15, 2022Updated 3 years ago
- 分数阶微分方程实例求解☆20Jul 1, 2017Updated 8 years ago
- Inference for diffusion processes with the use of `Guided Proposals`☆16Oct 20, 2020Updated 5 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Estimating high-order interactions in time series data of any dimension☆17Sep 5, 2025Updated 7 months ago
- I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…☆47Nov 26, 2020Updated 5 years ago
- Hurst exponent evaluation and R/S-analysis in Python☆335Nov 18, 2025Updated 4 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Pe…☆61Aug 15, 2022Updated 3 years ago
- Trellis is a Python framework for research into deep hedging☆23May 13, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Bayesian Inference and parameter estimation in quant finance.☆43Feb 18, 2019Updated 7 years ago
- Article on using deep learning to extract order flow information from the limit order book and forecast directional moves☆22Aug 6, 2023Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆142Sep 17, 2018Updated 7 years ago
- MATLAB library for working with alpha stable distributions☆31Aug 5, 2014Updated 11 years ago
- Controllability models of complex networks☆28Jan 13, 2024Updated 2 years ago
- Save and load entire workspaces containins pandas objects and numpy arrays☆15Oct 5, 2018Updated 7 years ago
- A Julia package that provides (feedback) particle filters for nonlinear stochastic filtering and data assimilation problems☆12Mar 17, 2023Updated 3 years ago
- We present a user-friendly open-source Matlab package for stochastic data analysis that enables to perform a standard analysis of given t…☆35Oct 7, 2022Updated 3 years ago
- ☆22Jun 21, 2022Updated 3 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- andi_datasets provides functions to generate, save, load and manipulate datasets of diffusion anomalous trajectories. It is part of the A…☆36Nov 21, 2025Updated 4 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Tutorials For Data Analysis in Julia☆11Dec 6, 2024Updated last year
- Detrended Fluctuation Analysis☆65Apr 29, 2021Updated 4 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆32May 26, 2021Updated 4 years ago
- fractional Kalman filter algorithms source code for SISO fractional order systems, including: fractional extended Kalman filter (FEKF), f…☆34May 22, 2021Updated 4 years ago
- ☆24Apr 2, 2026Updated 2 weeks ago
- Real analysis notes☆14Feb 7, 2023Updated 3 years ago
- A collection of optimizers, some arcane others well known, for Flax.☆29Aug 6, 2021Updated 4 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- An Earth Observation Land Data Assimilation System (EO-LDAS)☆17Jul 20, 2012Updated 13 years ago
- Just-in-time compilation for stochastic differential equations☆14Updated this week
- ☆16Jul 17, 2020Updated 5 years ago
- ☆28Aug 26, 2024Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Aug 23, 2021Updated 4 years ago
- Large scale simulation of ODEs or SDEs, analyze time series.☆25Apr 24, 2019Updated 6 years ago