Alternatives and similar repositories for py-hawkes

Users that are interested in py-hawkes are comparing it to the libraries listed below

• Andres-Hernandez / CalibrationNN
  Model Calibration with Neural Networks
  ☆48Updated 7 years ago
• maximemorariu / mpoints
  A machine learning tool that implements the class of state-dependent Hawkes processes.
  ☆31Updated 2 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆25Updated 7 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆59Updated 3 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 7 years ago
• jheusser / hawkes
  Hawkes Process Estimation
  ☆52Updated 11 years ago
• mm842 / lobpy
  Python package for a class of tractable SPDE models for limit order book modeling
  ☆38Updated 4 years ago
• jacobkahn / reinforcement-learning-market-microstructure
  Using Q-learning to better navigate orderbooks.
  ☆23Updated 7 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆31Updated 9 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• enjine-com / mcos
  Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
  ☆58Updated 2 years ago
• drewstone / gym-trading
  Reinforcement learning environment for trading
  ☆15Updated 7 years ago
• AlexPetit12 / EventDrivenPlatform
  Basic event driven platform for backtesting financial strategies in C++
  ☆14Updated 10 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆69Updated last year
• yinsenm / gerber
  Gerber robust statistics for portfolio optimization
  ☆62Updated 3 years ago
• ragoragino / limit-order-book
  Limit order book model with Poissonian order flow.
  ☆10Updated 7 years ago
• alexbotsula / XTX_Challenge
  Models and programs developed as part of XTX Forecastin Challenge 2019
  ☆27Updated 2 years ago
• cvxgrp / vwap_opt_exec
  Volume Weighted Average Price Optimal Execution
  ☆42Updated 6 years ago
• omitakahiro / Hawkes
  a python package for simulation and inference of Hawkes processes.
  ☆70Updated 4 years ago
• jsg71 / Deep-Hedging
  ☆152Updated 5 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆28Updated 5 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆71Updated 6 years ago
• jkillingsworth / mm-glosten-milgrom
  A study of the Glosten and Milgrom model for market making
  ☆14Updated 10 years ago
• LianguangXue / VPIN
  Vpin caculation and backtesting
  ☆14Updated 6 years ago