extreme-value-theory

There are 1 repository under extreme-value-theory topic.

• Sinbad-The-Sailor / Abacus

  Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

  extreme-value-theorymonte-carlo-simulationvine-copulasmodel-predictive-controlportfolio-optimizationfinancetime-seriesneural-networkstrading-botalgorithmic-tradingrisk-managementcopulastrading-strategiesstochastic-processesstochastic-programmingcryptocurrencycryto-currencyquantitative-financequantitative-trading
  Language:Jupyter Notebook 17

• jlidw / FluxEV

  Code for the WSDM 2021 paper "FluxEV: A Fast and Effective Unsupervised Framework for Time-Series Anomaly Detection".

  aiopsanomaly-detectionextreme-value-theorytime-seriesunsupervised-learning
  Language:Python 15
• VaR-threshold-and-confidence-interval

  guilhermessc / VaR-threshold-and-confidence-interval

  This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

  financeequityequity-marketsequity-researchextreme-value-theoryfinancial-riskfinancial-risk-analyticsgeneralized-pareto-distributionquantitative-risk-analysisstockstock-marketvalue-at-risk
  Language:Jupyter Notebook 6

• BrianNathanWhite / ADCIRC-reanalysis

  A Multivariate Spatial Extreme Value Analysis of Reconstructed Detided Daily Mean Sea Level Data

  extreme-value-theoryspatial-datacoastal-resilience
  Language:R 1

• PascalBruhn / FindTheTail

  Find The Tail - Matlab

  cvardistributionextreme-value-theorygeneralized-pareto-distributionrisk-managementvar
  1

• perej1 / extreme

  R package for estimation of elliptical extreme quantile regions

  elliptical-distributionextreme-value-theorymultivariate-statisticsquantile-estimation
  Language:R 1

• alisonpeard / hazardGAN

  Extreme value theory and GANs to generate compound coastal hazards (wind, precipitation, and significant wave height) over the Bay of Bengal.

  coastal-floodextreme-value-theorygenerative-adversarial-network
  Language:Jupyter Notebook 0

• perej1 / elliptical-sim

  Simulations for an article about extreme quantile region estimation

  elliptical-distributionextreme-value-theoryquantile-estimationmultivariate-statistics
  Language:R 0