Alternatives and similar repositories for Ornstein-Uhlenbeck-Bayesian:

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

• 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
  ☆26Updated 4 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…
  ☆29Updated 2 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• ChadFulton / pymar
  Markov Switching Models for Statsmodels
  ☆23Updated 8 years ago
• BlackArbsCEO / synthetic_time_series
  ☆27Updated 6 years ago
• robince / pyentropy
  Information Theoretic Tools for Python
  ☆92Updated 5 years ago
• Quiota / tensorflow
  ☆10Updated 7 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆25Updated 10 months ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• cvxgrp / cvx_opt_risk_neutral
  Convex optimization over risk-neutral probabilities.
  ☆15Updated 5 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated 2 months ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• mfrdixon / GP-CVA
  ☆13Updated 5 years ago
• BlackArbsCEO / hypothesis_driven_strategy_development
  ☆12Updated last year
• differential-machine-learning / appendices
  Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …
  ☆27Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• jacobkahn / reinforcement-learning-market-microstructure
  Using Q-learning to better navigate orderbooks.
  ☆21Updated 7 years ago
• ronojoy / pybisp
  This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…
  ☆11Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆46Updated 8 years ago
• steve98654 / PyTalk
  Files for Python Talk
  ☆24Updated 8 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆26Updated last year
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated last week
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆74Updated 7 years ago
• convexfi / fitHeavyTail
  Mean and Covariance Matrix Estimation under Heavy Tails
  ☆22Updated last year
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆23Updated 2 years ago
• microprediction / mkalgo
  Mueen-Keogh Algorithm for finding timeseries motifs
  ☆21Updated 4 years ago