Alternatives and similar repositories for evt

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

• maximenc / Extreme-Risk
  Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)
  ☆11Updated 4 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
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 10 months ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated last year
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆16Updated last year
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 4 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated last month
• DeepIntoStreams / Evaluation-of-Time-Series-Generative-Models
  Pipeline for Time Series Generation with Comprehensive Evaluation Metrics
  ☆42Updated 8 months ago
• amuguruza / RoughFCLT
  ☆20Updated 7 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆13Updated 3 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆36Updated last year
• cvxgrp / cov_pred_finance
  ☆67Updated 3 months ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆41Updated 6 years ago
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated last year
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 5 months ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆61Updated 2 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆53Updated 2 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆11Updated 7 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 10 months ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆58Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• maximenc / pycop
  Python library for multivariate dependence modeling with Copulas
  ☆115Updated last year
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 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
• khrapovs / fangoosterlee
  Price options analytically given stock price characteristic function
  ☆16Updated 9 years ago
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year