hpompom

VolatilityIsMostlyPathDependent

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

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.

GaR

gar-replication

Backtesting Global Growth-at-Risk Replication Files

Lifted-Heston-model

Milstein

Some files are currently optimized and will be uploaded again

QuantumComputing

Quantum Computing for Finance

mpoints

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

StochVolModels

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

SINC-method

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

Additive-Logistic-Option-Pricing

Mathematica code

monotonic-network

Monotonic Networks – 1997, Sill

esback

Expected Shortfall Backtesting

RealizedQuantities

Estimation of realized quantities

NetworkRiskMeasures

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

DynamicNets.jl

Code for estimation of Large Dynamic Networks

PoPPy

A Point Process Toolbox Based on PyTorch

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

pysabr

SABR model Python implementation

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.

PROJ_Option_Pricing_Matlab

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

nyc-taxi-data

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

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

risk-range-vol_of_vol

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

Stein-Variational-Gradient-Descent

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

Bayesian-Neural-Networks

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

blitz-bayesian-deep-learning

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

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.

-julia-

量化宏观及julia应用

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>.