luisdamiano / gsoc17-hhmm
Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 2017.
☆117Updated 6 years ago
Alternatives and similar repositories for gsoc17-hhmm:
Users that are interested in gsoc17-hhmm are comparing it to the libraries listed below
- Basic time series modeling with Stan and Pystan☆33Updated 7 years ago
- Python Copula Module☆43Updated last year
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- Bayesian models to compute performance and uncertainty of returns and alpha.☆108Updated last year
- ☆90Updated last month
- Markov Switching Models for Statsmodels☆22Updated 8 years ago
- Full Bayesian Inference for Hidden Markov Models☆40Updated 6 years ago
- Nonlinear Nonparametric Statistics☆68Updated last week
- R package for high frequency time series data management☆61Updated 2 months ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆43Updated 7 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆21Updated last year
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 6 years ago
- ☆33Updated last year
- ☆45Updated 8 years ago
- ☆17Updated 7 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 7 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆27Updated 5 years ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆23Updated last week
- A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.☆55Updated 7 months ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Hawkes Process Estimation☆50Updated 10 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated last year
- ☆50Updated 4 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆151Updated last year
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- GAS models☆34Updated 3 years ago
- ☆7Updated 4 years ago