stochasticresearch / copula-py
Python Copula Module
☆43Updated 2 years ago
Alternatives and similar repositories for copula-py:
Users that are interested in copula-py are comparing it to the libraries listed below
- Python copulas library for dependency modeling☆101Updated 4 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- ☆10Updated 7 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- Python library for multivariate dependence modeling with Copulas☆109Updated 10 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 5 months ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- L1 Trend Filtering☆19Updated last year
- Multivariate data modelling with Copulas in Python☆152Updated 2 months ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated last year
- A simple implementation of the WaveNet model for time series forecasting☆26Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Updated 12 years ago
- ☆32Updated 6 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…☆11Updated 3 years ago
- A Python library for vine copula models☆99Updated last week
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 7 months ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Lasso Quantile Regression☆31Updated 5 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- ☆13Updated 5 years ago
- (Work In Progress) Implementation of "Financial Time Series Prediction Using Deep Learning"☆16Updated 7 years ago
- Tensorflow implementation of deep quantile regression☆76Updated 2 years ago
- Python package for Feature-based Forecast Model Averaging (FFORMA).☆28Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Markov Switching Models for Statsmodels☆23Updated 8 years ago
- Stochastic volatility models☆18Updated 6 years ago