Alternatives and similar repositories for covShrinkage

Users that are interested in covShrinkage are comparing it to the libraries listed below

• cvxgrp / cov_pred_finance
  ☆68Updated 5 months ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆26Updated 3 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆44Updated 4 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• cvxgrp / cvxrisk
  ☆20Updated last week
• oledoit / covShrinkage
  A Package for Shrinkage Estimation of Covariance Matrices
  ☆16Updated last year
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆59Updated 3 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 8 years ago
• tschm / pyhrp
  Run hierarchical risk parity algorithms
  ☆50Updated last week
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• GGiecold-zz / pyRMT
  Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.
  ☆75Updated 7 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated 2 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆98Updated last year
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆12Updated 7 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆37Updated 6 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆56Updated 4 months ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• GiulioRossetti94 / PyBondLab
  ☆31Updated 5 months ago
• mfrdixon / G-Learning-Wealth-Management
  ☆24Updated 4 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• cvxgrp / cvxmarkowitz
  ☆31Updated last week
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• asnelt / mixedvines
  Python package for canonical vine copula trees with mixed continuous and discrete marginals
  ☆49Updated last year
• sauxpa / ito_diffusions
  Library for stochastic process simulation
  ☆14Updated 2 years ago