Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
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Updated
Jul 15, 2017 - MATLAB
Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
An R package for the stochastic simulation of processes with any marginal distribution and correlation structure
Generative Models in Commodity Trading
A professor I wanted to do research with asked me to read up on copulas before an interview. I ended up doing a bit more than just reading. This is based off the work of Thomas Wiecki (https://twiecki.io/blog/2018/05/03/copulas/).
Ensemble of Trees of Pairwise Copulas for extremes
This is where I originally designed my Monte Carlo simulation package (MCmarket) my Mcom financial econometrics course work at Stellenbosch University.
Research seminar about a fast selection technique for bivariate copulae.
Code for paper "Copula-based conformal prediction for Multi-Target Regression"
MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455
Robust Estimation of Copulas by Maximum Mean Discrepancy
Flow-based PC algorithm for causal discovery using Normalizing Flows
This repository contains the code of our published work in IEEE JBHI. Our main objective was to demonstrate the feasibility of the use of synthetic data to effectively train Machine Learning algorithms, prooving that it benefits classification performance most of the times.
Examples of scheduled jobs estimating copulas at www.microprediction.org
Notebooks in financial mathematics. Ranging from risk management to portfolio management and stochastic processes for financial markets.
Multivariate time series generator based on the Phase Annealing algorithm. Various objective functions that focus on multivariate copula properties while annealing. Various plotting routines to visualize results. Take a look at the scripts in the "test" directory for how to use.
A Python Package to Create Synthetic Tabular Data
Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen
Mostly experiments of quantitative finance concepts that i wish to get a deeper knowledge of the underlying theory
From A to Z
Copula fitting in Python.
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