spmvg / evt

Related projects ⓘ

Alternatives and complementary repositories for evt

• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆20Updated 2 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last week
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 2 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆35Updated 5 years ago
• KidQuant / Forecasting-VAR-Granger-Causality
  ☆11Updated 4 years ago
• QuantLet / MLvsGARCH
  ☆18Updated last year
• sydney-machine-learning / Bayesianneuralnet_stockmarket
  Bayesian neural network with Parallel Tempering MCMC for Stock Market Prediction
  ☆34Updated 3 years ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆58Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆37Updated last month
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆32Updated 2 years ago
• amwatt / thermal_optimal_path
  Dynamic lead/lag inference for time series
  ☆15Updated 5 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆47Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆9Updated 7 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆46Updated 4 years ago
• iankhr / armagarch
  ARMA-GARCH
  ☆91Updated last year
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 2 months ago
• juliansester / Robust-Portfolio-Optimization
  Markov decision processes under model uncertainty
  ☆14Updated 2 years ago
• Sinbad-The-Sailor / Abacus
  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Depend…
  ☆19Updated 8 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 6 months ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆45Updated last year
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆17Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆59Updated last week
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 7 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆12Updated 2 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆15Updated 2 weeks ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆11Updated 5 years ago
• stochasticresearch / copula-py
  Python Copula Module
  ☆43Updated last year
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆31Updated 2 years ago