Alternatives and similar repositories for cov_pred_finance:

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

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 11 months ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆62Updated 2 months ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 4 months ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆53Updated 2 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆29Updated last year
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆38Updated 4 months ago
• cvxgrp / cvxstatarb
  ☆26Updated last month
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆49Updated 2 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆59Updated this week
• cvxgrp / cvxmarkowitz
  ☆27Updated last month
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated last month
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• ArturSepp / OptimalPortfolios
  Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python
  ☆40Updated this week
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated this week
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆59Updated last year
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• RiskLabAI / RiskLabAI.py
  Financial AI with Python
  ☆62Updated last week
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆69Updated 2 months ago
• tschm / pyhrp
  Run hierarchical risk parity algorithms
  ☆45Updated this week
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 6 years ago
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆34Updated 2 years ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆54Updated last year
• tschm / cs
  my talk for credit suisse
  ☆38Updated this week
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆56Updated 10 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 10 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 4 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆25Updated last year