ragoragino / py-hawkes
Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawkes processes.
☆10Updated 7 years ago
Alternatives and similar repositories for py-hawkes:
Users that are interested in py-hawkes are comparing it to the libraries listed below
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- a python package for simulation and inference of Hawkes processes.☆65Updated 4 years ago
- Hawkes Process Estimation☆51Updated 11 years ago
- [Python Package] Code from 'The Elements of Hawkes Processes' Book☆28Updated last year
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated last year
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- ☆19Updated 6 years ago
- Python class for generation and parameter estimation of multivariate Hawkes processes☆167Updated last year
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Model Calibration with Neural Networks☆46Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- fast parameter estimation for simpler Hawkes processes☆70Updated 2 years ago
- Reinforcement learning environment for trading☆15Updated 7 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆56Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago