Alternatives and similar repositories for DSM-bocd

Users that are interested in DSM-bocd are comparing it to the libraries listed below

• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆37Updated last year
• PrincetonLIPS / mf-bocd
  Active multi-fidelity Bayesian online changepoint detection.
  ☆18Updated 4 years ago
• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆37Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• elifons / FeatureSaliencyHMM
  Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)
  ☆13Updated 2 years ago
• fmorenopino / HeterogeneousHMM
  Discrete, Gaussian, and Heterogenous HMM models full implemented in Python. Missing data, Model Selection Criteria (AIC/BIC), and Semi-Su…
  ☆80Updated 2 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆16Updated last year
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆58Updated 3 years ago
• akononovicius / arfima
  Python implementation of ARFIMA process with an aim to simulate series.
  ☆21Updated 4 years ago
• DeepIntoStreams / Evaluation-of-Time-Series-Generative-Models
  Pipeline for Time Series Generation with Comprehensive Evaluation Metrics
  ☆43Updated 10 months ago
• omitakahiro / Hawkes
  a python package for simulation and inference of Hawkes processes.
  ☆69Updated 4 years ago
• gerdm / weighted-likelihood-filter
  Code for the paper "Outlier-robust Kalman Filtering through Generalised Bayes" presented at ICML 2024
  ☆71Updated last month
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆54Updated 2 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated 3 months ago
• cvxgrp / robust_bond_portfolio
  Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
  ☆14Updated last year
• pafoster / path_signatures_introduction
  A Brief Introduction to Path Signatures for Machine Learning Practitioners
  ☆55Updated 4 years ago
• chaozhang-ox / Tail-GAN
  code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios
  ☆19Updated last month
• SigCGANs / Sig-Wasserstein-GANs
  ☆29Updated 2 years ago
• gwgundersen / bocd
  Python implementation of Bayesian online changepoint detection
  ☆104Updated 2 years ago
• alan-turing-institute / bocpdms
  ☆35Updated 7 years ago
• AlessandroGnoatto / DeepBsdeSolverWithJumps
  Implementation of "A deep solver for BSDEs with jumps"
  ☆15Updated last year
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• KalmanNet / KalmanBOT_ICASSP23
  DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS
  ☆35Updated 3 years ago
• g-benton / Volt
  Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes
  ☆49Updated 3 years ago
• cvxgrp / cvxmarkowitz
  ☆28Updated 5 months ago
• aangelopoulos / conformal-time-series
  Conformal prediction for time-series applications.
  ☆127Updated last year
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• Ralami1859 / BayesianOnlineChange-pointDetection-python-codes-
  Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.
  ☆14Updated 4 years ago