Alternatives and similar repositories for stochastic

Users that are interested in stochastic are comparing it to the libraries listed below

• crflynn / fbm
  Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python
  ☆101Updated 4 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆44Updated 4 years ago
• quantgirluk / aleatory
  📦 Python library for Stochastic Processes Simulation and Visualisation
  ☆344Updated 8 months ago
• 732jhy / Fractional-Brownian-Motion
  Python implementation of fractional brownian motion
  ☆64Updated 5 years ago
• Mottl / hurst
  Hurst exponent evaluation and R/S-analysis in Python
  ☆334Updated 2 weeks ago
• vinecopulib / pyvinecopulib
  A Python library for vine copula models
  ☆113Updated 2 weeks ago
• blent-ai / pycopula
  Python copulas library for dependency modeling
  ☆102Updated 5 years ago
• bottler / iisignature
  Iterated integral signature calculations
  ☆114Updated last month
• asnelt / mixedvines
  Python package for canonical vine copula trees with mixed continuous and discrete marginals
  ☆49Updated last year
• DanielBok / copulae
  Multivariate data modelling with Copulas in Python
  ☆159Updated 10 months ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆98Updated last year
• pfnet-research / pfhedge
  PyTorch-based framework for Deep Hedging
  ☆329Updated last year
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• cvxgrp / cvx_short_course
  Materials for a short course on convex optimization.
  ☆353Updated 2 months ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆56Updated 4 months ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆134Updated 7 years ago
• asavine / CompFinLecture
  Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London
  ☆68Updated 5 years ago
• mattja / sdeint
  Numerical integration of Ito or Stratonovich SDEs
  ☆168Updated 2 years ago
• philipperemy / fractional-differentiation-time-series
  As described in Advances of Machine Learning by Marcos Prado.
  ☆120Updated 3 years ago
• differential-machine-learning / notebooks
  Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…
  ☆144Updated 3 years ago
• microprediction / humpday
  Elo ratings for global black box derivative-free optimizers
  ☆143Updated 10 months ago
• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• fracdiff / fracdiff
  Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial…
  ☆328Updated last year
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆124Updated last month
• piterbarg / altnnpub
  Public code for our paper https://ssrn.com/abstract=3958331
  ☆26Updated 4 years ago
• bkelly-lab / ipca
  Instrumented Principal Components Analysis
  ☆243Updated 3 years ago
• microprediction / precise
  World beating online covariance and portfolio construction.
  ☆311Updated last month
• convexfi / riskparity.py
  Fast and scalable construction of risk parity portfolios
  ☆317Updated this week
• maximenc / pycop
  Python library for multivariate dependence modeling with Copulas
  ☆115Updated last year