ornstein-uhlenbeck-process
There are 12 repositories under ornstein-uhlenbeck-process topic.
bradleyboyuyang/Statistical-Arbitrage
High-frequency statistical arbitrage
rsadykhov/stochastic-models
Python code of commonly used stochastic models for Monte-Carlo simulations
VodickaPeter/Long-term-Real-Dynamic-Investment-Planning-IME
IME-published article on Long-term Real Dynamic Investment Planning. While we enhance predictability of the real returns of S&P500 Index, we derive optimal non-myopic investment strategy, and we compare its performance with near-optimal Dynamic and Constant Merton investment strategies.
RePlasma/PhysRevA.103.052425
Variational quantum simulations of stochastic differential equations
vrettasm/HamiltonianMonteCarlo
Hamiltonian Monte Carlo (HMC) sampling method in Python3, based on the original paper: Simon Duane, Anthony D. Kennedy, Brian J. Pendleton and Duncan Roweth (1987). "Hybrid Monte Carlo". Physics Letters B. 195 (2): 216–222.
ved4589ved/Ornstein-Uhlenbeck-process-simulation-in-python
Ornstein unlenbeck process simulation in python
n1ghtf4l1/experienced-metronome
Solve the Inverted Pendulum Control problem using Deep Deterministic Policy Gradient model
petermchale/diffusion
Implementation of a Denoising Diffusion Probabilistic Model with some mathematical background.
sathya-ml/ornstein-uhlenbeck-2d-pyro
A Pyro-PPL implementation of a 2D Ornstein-Uhlenbeck process using stochastic variational inference.
RePlasma/StochasticProcessesBasicExamples
Stochastic Processes: Basic Examples
zelenkastiot/ou_subordinator
Python simulations for CTRWs Ornstein-Uhlenbeck process with different stability index