christianjauregui

QuantEcon.py

A community based Python library for quantitative economics

arch

ARCH models in Python

analyzingalpha

antropy

AntroPy: entropy and complexity of (EEG) time-series in Python

MFDFA

Multifractal Detrended Fluctuation Analysis in Python

fathon

python package for DFA (Detrended Fluctuation Analysis) and related algorithms

lecture-python.myst

Quantitative Economics with Python

fractal-market-analysis

We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Peters' "Fractal Market Analysis" so, with apologies to the Authors, we attempt to fill this vacancy.

polygon_api

Getting Stock Pricing Data from the Polygon.io API using Python

recombinator

Recombinator is a Python package for statistical resampling in Python. It provides various algorithms for the iid bootstrap, the block bootstrap, as well as optimal block-length selection.

GenHurst

Calculates the generalized Hurst exponent of a time series

Hurst-Exponent-Trading-Strategy

markov-switching-multifractal

Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).

admm

ADMM optimizer in python

MSM

An R package for forecasting volatility, using the Markov Switching Multifractal model.

pracma

:exclamation: This is a read-only mirror of the CRAN R package repository. pracma — Practical Numerical Math Functions

polygon

A repository of code that interacts with the polygon.io API

chhabra-jensen

Multifractal analysis in Matlab and Python

YieldCurveNoise

Public code for "Estimating yield curve noise."

hurst-exp

Estimating Hurst exponents varying in time using neural networks for time series

MSM_Thanasarn

Makov Switching Multifractal Model

MSM_Matlab

Matlab implementation of the Markov Switching Multifractal model

stationary_bootstrap_python

Resampling procedure for weakly dependent stationary observations.

ICode

HurstExponentNotebooks

Here is a collection of Jupyter Notebooks detailing an exploration of the Hurst parameter

stresampling

Python package for statistical analysis of stationary timeseries using resampling methods

multifractal-gmm-estimation

Paper and R code accompanying the senior honours essay course (ECON 472) at the University of Waterloo

pmdarima

A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.

fractal

:exclamation: This is a read-only mirror of the CRAN R package repository. fractal — A Fractal Time Series Modeling and Analysis Package

663project

663_project