dthomakos / Prognostikon-Code
Publicly available Python and Gretl code from posts at my blog Prognostikon
☆8Updated this week
Alternatives and similar repositories for Prognostikon-Code:
Users that are interested in Prognostikon-Code are comparing it to the libraries listed below
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- This repo is for my articles published on Medium.com☆15Updated last year
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated last month
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆9Updated last year
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆15Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Portfolio optimization with cvxopt☆37Updated last week
- Multivariate GARCH modelling in Python☆16Updated 2 months ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆28Updated last year
- ☆27Updated 2 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆13Updated 4 years ago
- ☆22Updated this week
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆34Updated 3 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"☆16Updated 5 months ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆20Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆46Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 8 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Python package for generating Directional Changes - a technical analysis indicator - from time series.☆20Updated 6 years ago
- ☆35Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 months 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…☆62Updated 5 months ago