Alternatives and similar repositories for Ornstein-Uhlenbeck-Bayesian

Users that are interested in Ornstein-Uhlenbeck-Bayesian are comparing it to the libraries listed below

• ChadFulton / pymar
  Markov Switching Models for Statsmodels
  ☆23Updated 9 years ago
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• AlexIoannides / pymc-stochastic-process
  Bayesian Inference and parameter estimation in quant finance.
  ☆42Updated 6 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• mfrdixon / GP-CVA
  ☆14Updated 5 years ago
• Bobbakov / orderGenerator
  This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…
  ☆30Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• BlackArbsCEO / synthetic_time_series
  ☆27Updated 6 years ago
• Quiota / tensorflow
  ☆10Updated 8 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆25Updated 2 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆55Updated 3 years ago
• frontmark / jupyter-notebooks
  Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
  ☆38Updated 4 years ago
• t-vi / interesting-rates
  Economic models and things in Pytorch
  ☆21Updated 7 years ago
• thalesians / bayestsa
  A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis
  ☆21Updated 8 years ago
• hongwai1920 / Implement-Option-Pricing-Model-using-Python
  Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…
  ☆31Updated 4 years ago
• junyanxu / Python-Heston-Option-Pricer
  ☆19Updated 8 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated last month
• ChadFulton / fulton_statsmodels_2017
  State Space Estimation of Time Series Models in Python: Statsmodels
  ☆44Updated 8 years ago
• steve98654 / PyTalk
  Files for Python Talk
  ☆24Updated 9 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• CamDavidsonPilon / Graphical-Lasso-in-Finance
  Implementations of the graphical lasso method to estimation of covariance matrices in finance.
  ☆36Updated 12 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆35Updated 6 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆24Updated 7 years ago
• bayesiancointegration / python
  Python code for Bayesian Conditional Cointegration
  ☆18Updated 8 years ago