yedrek / shrinkage
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
- ☆63Updated 2 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- ☆19Updated 6 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- ☆26Updated 2 months ago
- Hawkes with Latency☆20Updated 4 years ago
- Compile risk with cvxpy☆13Updated this week
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Run hierarchical risk parity algorithms☆46Updated this week
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆69Updated last month
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- ☆25Updated this week
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 6 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 11 months ago
- Regime-Switching Model☆17Updated 7 years ago