yedrek / shrinkageLinks
Python library for shrinkage cleaning of large correlation matrices.
☆14Updated last year
Alternatives and similar repositories for shrinkage
Users that are interested in shrinkage are comparing it to the libraries listed below
Sorting:
- ☆70Updated 6 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆30Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- Run hierarchical risk parity algorithms☆50Updated this week
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Multivariate GARCH modelling in Python☆16Updated last year
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆31Updated last week
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- ☆21Updated 7 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Tool to support backtests☆48Updated this week
- ☆33Updated 6 months ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Price options analytically given stock price characteristic function☆16Updated 10 years ago
- ☆20Updated this week
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- ☆31Updated 5 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 9 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated this week
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated 2 years ago
- A Python implementation of the rough Bergomi model.☆134Updated 7 years ago