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
- Markov Switching Models for Statsmodels☆23Updated 8 years ago
- Implementation of Hidden Markov Models in pymc3☆61Updated 8 years ago
- Basic time series modeling with Stan and Pystan☆33Updated 7 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.☆110Updated 2 years ago
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆28Updated 6 years ago
- Full Bayesian Inference for Hidden Markov Models☆43Updated 6 years ago
- Dimension Reduction Methods for Multivariate Time Series☆59Updated 3 weeks ago
- ☆8Updated 5 years ago
- Python Copula Module☆43Updated 2 years ago
- fast parameter estimation for simpler Hawkes processes☆70Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- R code for ''Bayesian method for causal inference in spatially-correlated multivariate time series''☆46Updated 4 years ago
- A framework to infer causality on a pair of time series of real numbers based on Variable-lag Granger causality and transfer entropy.☆55Updated 10 months ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 7 months ago
- ☆17Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Probability of Backtest Overfitting☆48Updated 2 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆154Updated last year
- ☆92Updated 4 months ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- R package for Feature-based Forecast Model Averaging☆35Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year
- https://arxiv.org/abs/1805.01104☆112Updated 4 years ago
- Statistical inference on machine learning or general non-parametric models☆44Updated 11 months ago
- NYU Tandon lecture slides☆31Updated 2 weeks ago