spmvg / evt
Estimators and analysis for extreme value theory (EVT)
☆16Updated 3 years ago
Alternatives and similar repositories for evt:
Users that are interested in evt are comparing it to the libraries listed below
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆10Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 months ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 4 months ago
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Hawkes with Latency☆19Updated 4 years ago
- ☆20Updated 3 weeks ago
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.☆15Updated 3 years ago
- Deep Learning + Time Series Analysis☆27Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 5 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- ☆19Updated 6 years ago
- ☆12Updated 5 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- ☆17Updated 3 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 9 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year