Alternatives and similar repositories for weighted-likelihood-filter

Users that are interested in weighted-likelihood-filter are comparing it to the libraries listed below

• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• maximenc / pycop
  Python library for multivariate dependence modeling with Copulas
  ☆115Updated last year
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated 3 months ago
• cvxgrp / cvxmarkowitz
  ☆28Updated 5 months ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆83Updated 11 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆16Updated last year
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆44Updated 4 years ago
• datasig-ac-uk / esig
  esig python package
  ☆50Updated 11 months ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆54Updated 2 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• kayuksel / generative-opt
  Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization
  ☆83Updated 2 years ago
• GiulioRossetti94 / PyBondLab
  ☆28Updated 4 months ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• mawicks / mvarch
  Multivariate Volatility Models (ARCH) for stock prices and other time series
  ☆20Updated last year
• cvxgrp / cvxstatarb
  ☆31Updated 5 months ago
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆41Updated last year
• lixixibj / DeepVARwT-data-code
  ☆20Updated 3 weeks ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated 2 years ago
• cvxgrp / cvxrisk
  ☆19Updated last week
• mfrdixon / G-Learning-Wealth-Management
  ☆24Updated 3 years ago
• kaaaylaaa / causality-based-trading
  ☆21Updated 11 months ago
• harrisp / GPyConform
  ☆49Updated last month
• cvxgrp / simulator
  Tool to support backtests
  ☆46Updated this week
• ZitongYang / bellman-conformal-inference
  Python implementation for Bellman Conformal Inference algorithm for time series forecasting.
  ☆23Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• convexfi / intradayModel
  Modeling of intraday volatility and volume in financial markets
  ☆15Updated 2 years ago
• astrogilda / tsbootstrap
  tsbootstrap: generate bootstrapped time series samples in Python
  ☆85Updated 4 months ago
• microprediction / m6
  M6-Forecasting competition
  ☆43Updated last year