hpompom

hpompom's Stars

• toddwschneider/nyc-taxi-data

  Import public NYC taxi and for-hire vehicle (Uber, Lyft) trip data into a PostgreSQL or ClickHouse database

  Language:R2k12725568

• JavierAntoran/Bayesian-Neural-Networks

  Pytorch implementations of Bayes By Backprop, MC Dropout, SGLD, the Local Reparametrization Trick, KF-Laplace, SG-HMC and more

  Language:Jupyter Notebook1.8k2724302

• piEsposito/blitz-bayesian-deep-learning

  A simple and extensible library to create Bayesian Neural Network layers on PyTorch.

  Language:Python9311573106

• ynouri/pysabr

  SABR model Python implementation

  Language:Jupyter Notebook46017779

• jkirkby3/PROJ_Option_Pricing_Matlab

  Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

  Language:MATLAB1746265

• ArturSepp/StochVolModels

  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

  Language:Python1393231

• HongtengXu/PoPPy

  A Point Process Toolbox Based on PyTorch

  Language:Python1296529

• DartML/Stein-Variational-Gradient-Descent

  code for the paper "Stein Variational Gradient Descent (SVGD): A General Purpose Bayesian Inference Algorithm"

  Language:Python953039

• IMFGAR/GaR

  Language:Python609333

• Jordylek/VolatilityIsMostlyPathDependent

  Code for the paper Volatility is (mostly) path-dependent

  Language:Jupyter Notebook514420

• wenddymacro/-julia-

  量化宏观及julia应用

  Language:Jupyter Notebook393012

• maximemorariu/mpoints

  A machine learning tool that implements the class of state-dependent Hawkes processes.

  Language:Python31149

• BayerSe/RealizedQuantities

  Estimation of realized quantities

  Language:Python15414

• acguidoum/Sim.DiffProc

  An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms Itô and Stratonovich <doi:10.18637/jss.v096.i02>.

  Language:R13325

• BayerSe/esback

  Expected Shortfall Backtesting

  Language:R12424

• JackJacquier/QuantumComputing

  Quantum Computing for Finance

  Language:Jupyter Notebook12107

• oguzserbetci/monotonic-network

  Monotonic Networks – 1997, Sill

  Language:Python10101

• korobilis/BCVAR

  Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “Bayesian Compressed Vector Autoregressions”, Journal of Econometrics, 210, 135-154.

  Language:MATLAB8114

• ctbrownlees/gar-replication

  Backtesting Global Growth-at-Risk Replication Files

  Language:MATLAB7207

• fabioBaschetti/SINC-method

  [FT and FFT] Option pricing with the SINC approach: experiments under the rough Heston model

  Language:MATLAB610

• fmsiddi/AFL-RL-Botnet-MFG

  Trying to apply Angiuli et. al's reinforcement learning algorithm for solving both mean field game and mean field control problems from their paper "Reinforcement Learning for Mean Field Games, with Applications to Economics" to example 7.2.3 of Carmona and Delarue's textbook on mean field games, which is a problem based on the paper "Mean-field-game model for Botnet defense in Cyber-security" by Kolokoltsov and Bensoussan

  Language:Jupyter Notebook6101

• frantisekcech/PQRreturns

  Code to compute Panel Quantile Regression for Returns (PQR) introduced in Baruník, J. and Čech, F., 2020. Measurement of common risks in tails: A panel quantile regression model for financial returns. Journal of Financial Markets, https://doi.org/10.1016/j.finmar.2020.100562

  Language:R6107

• jimfilam/risk-range-vol_of_vol

  Using rough volatility https://tpq.io/p/rough_volatility_with_python.html

  Language:Python4211

• LorenzoTorricelli/Additive-Logistic-Option-Pricing

  Mathematica code

  Language:Mathematica3100

• mbennedsen/Semiparametric-Estimation-of-Fractal-Index

  MATLAB code accompanying the paper Bennedsen (2020): "Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data”, 2020. Econometric Reviews, Volume 39, Issue 9, p. 875-903.

  Language:MATLAB3

• sarrme/Lifted-Heston-model

  Language:Jupyter Notebook320

• Wstockinger/Milstein

  Some files are currently optimized and will be uploaded again

  Language:MATLAB310

• zlfccnu/NetworkRiskMeasures

  Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.

  Language:R2001

• luboshanus/DynamicNets.jl

  Code for estimation of Large Dynamic Networks

  Language:Jupyter Notebook1100

• wenddymacro/Hands-on-Machine-Learning

  A series of Jupyter notebooks with Chinese comment that walk you through the fundamentals of Machine Learning and Deep Learning in python using Scikit-Learn and TensorFlow.

  Language:Jupyter Notebook1101