Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensional and non-Markovian data"
☆39Jul 5, 2023Updated 2 years ago
Alternatives and similar repositories for signature-regime-detection
Users that are interested in signature-regime-detection are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code for the NeurIPS 2021 paper "Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes".☆10Oct 27, 2021Updated 4 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆22Sep 8, 2024Updated last year
- detecting regime of financial market☆50Sep 30, 2022Updated 3 years ago
- ☆71Jun 13, 2025Updated 10 months ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Statistical Jump Models in Python, with scikit-learn-style APIs☆147Jan 12, 2025Updated last year
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆73Mar 4, 2024Updated 2 years ago
- SIT (Signature-Informed Transformer For Asset Allocation)☆19Nov 26, 2025Updated 5 months ago
- On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backt…☆13Jul 20, 2024Updated last year
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- FinanceDatabase☆32Feb 18, 2024Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- ☆60Feb 17, 2023Updated 3 years ago
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 5 years ago
- Capstone Research Project in NYU Courant☆12Jan 3, 2020Updated 6 years ago
- MFM workshop project☆15Jan 25, 2021Updated 5 years ago
- High performance database configuration suitable for read-only workloads☆11Jun 28, 2022Updated 3 years ago
- World beating online covariance and portfolio construction.☆322Oct 13, 2025Updated 6 months ago
- Time-Causal VAE☆20Nov 8, 2024Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Replication of https://ssrn.com/abstract=3984925☆55Mar 27, 2024Updated 2 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆89Dec 19, 2024Updated last year
- Stock database schema based on pony.orm with an update, sync, and create features.☆17Jan 29, 2025Updated last year
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆137Apr 1, 2025Updated last year
- Simulation of Stock Data Using Recurrent GAN☆17Sep 2, 2021Updated 4 years ago
- Financial applications focusing on portfolio management for Python☆16Jan 16, 2023Updated 3 years ago
- ☆15Jul 9, 2022Updated 3 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Mar 23, 2020Updated 6 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Machine Learning in Asset Management☆20Jul 18, 2019Updated 6 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆41Aug 19, 2020Updated 5 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆16Dec 30, 2020Updated 5 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆22Apr 11, 2020Updated 6 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆17Aug 24, 2023Updated 2 years ago
- ☆25Apr 28, 2026Updated last week
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago