A library to model multivariate data using copulas.
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Updated
May 6, 2024 - Python
A library to model multivariate data using copulas.
Multivariate data modelling with Copulas in Python
TACTiS-2: Better, Faster, Simpler Attentional Copulas for Multivariate Time Series, from ServiceNow Research
Examples of scheduled jobs estimating copulas at www.microprediction.org
Python package for canonical vine copula trees with mixed continuous and discrete marginals
MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455
Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
Code for paper "Copula-based conformal prediction for Multi-Target Regression"
Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.
Mostly experiments of quantitative finance concepts that i wish to get a deeper knowledge of the underlying theory
An R package for the stochastic simulation of processes with any marginal distribution and correlation structure
Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen
Ensemble of Trees of Pairwise Copulas for extremes
From A to Z
Notebooks in financial mathematics. Ranging from risk management to portfolio management and stochastic processes for financial markets.
This is where I originally designed my Monte Carlo simulation package (MCmarket) my Mcom financial econometrics course work at Stellenbosch University.
Generative Models in Commodity Trading
Estimation and inference for conditional copulas models
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
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