kenluck2001 / pySmoothLinks
A unique time series library in Python that consists of Kalman filters (discrete, extended, and unscented), online ARIMA, and time difference model.
☆33Updated 8 years ago
Alternatives and similar repositories for pySmooth
Users that are interested in pySmooth are comparing it to the libraries listed below
Sorting:
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- Code examples for pyFTS☆51Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- ☆35Updated 6 years ago
- ☆27Updated 6 years ago
- Python Copula Module☆43Updated 2 years ago
- Python copulas library for dependency modeling☆102Updated 5 years ago
- Python library for multivariate dependence modeling with Copulas☆115Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- ☆33Updated 2 years ago
- Multivariate data modelling with Copulas in Python☆159Updated 8 months ago
- Unsupervised Learning to Market Behavior Forecasting Example☆41Updated 5 years ago
- Recombinator is a Python package for statistical resampling in Python. It provides various algorithms for the iid bootstrap, the block bo…☆49Updated last year
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 3 years ago
- 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
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Talk Materials for "Convex Optimization for Finance"☆29Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- finance☆43Updated 8 years ago
- ☆67Updated 4 months ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 13 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 11 months ago
- Recurrent Neural Filters for Time Series Prediction☆23Updated 5 years ago