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133 public repositories
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Collection of notebooks about quantitative finance, with interactive python code.
Updated
Jul 10, 2020
Jupyter Notebook
Multi-language suite for high-performance solvers of differential equations and scientific machine learning (SciML) components
Updated
Jul 19, 2020
Julia
Gaussian processes in TensorFlow
Updated
Aug 3, 2020
Python
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Updated
Aug 3, 2020
Python
Generate realizations of stochastic processes in python.
Updated
Jul 3, 2020
Python
Python framework for short-term ensemble prediction systems.
Updated
Jul 28, 2020
Python
Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem
Updated
Jul 28, 2020
Julia
Adaptive computational fluid dynamics
R package for statistical inference using partially observed Markov processes
Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations
Updated
Apr 10, 2017
MATLAB
Demonstrating the benefits of using Bayesian Inference and PYMC3 for estimating the parameters of stochastic processes commonly used in quantitative finance.
Updated
Feb 18, 2019
Jupyter Notebook
By means of stochastic volatility models
Updated
Mar 24, 2020
Jupyter Notebook
Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.
Updated
Jun 20, 2020
Python
Exercises and notes for N.G. Van Kampen's Stochastic Processes in Physics and Chemistry
A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)
Updated
Jul 22, 2020
Julia
Jdmbs: An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
Multifractal Detrended Fluctuation Analysis in Python
Updated
Aug 1, 2020
Python
Automating various decisions stochastically, starting with my current coin-based intermittent fasting and dice-based kettlebell.
Updated
May 1, 2018
Racket
Piecewise Deterministic Markov Processes in Julia
Updated
Mar 26, 2020
Julia
SdePy: Numerical Integration of Ito Stochastic Differential Equations
Updated
May 8, 2020
Python
Record the learning materials of the course - "STOCHASTIC ANALYSIS OF COMPUTER NETWORKS" in National Cheng Kung University.
Numerical experiments with stochastic differential equations in Haskell
Updated
Dec 21, 2018
Haskell
Python implementation of a multitaper window method for estimating Wigner spectra for certain locally stationary processes
Updated
Jun 19, 2019
Python
Implementation of the Gaussian Process Latent Variable Model.
Updated
Jun 4, 2019
Python
A classic implementation in C++ of the famous 2D Ising Model.
Updated
Mar 5, 2017
Jupyter Notebook
DISCOTRESS is a software package to simulate the dynamics on arbitrary Markov chains
Bloomberg API based S&P500 extraction on R. Maximum Likelihood parameter estimation of Double Exponential Jump Diffusion Model (DEJD). European option pricing using DEJD model.
Updated
Apr 16, 2018
Python
Feedback particle filters for nonlinear stochastic filtering and data assimilation problems
Updated
Jun 11, 2020
Julia
Networkx implementation of the SIS epidemic model for large and heterogeneous networks
Updated
Jul 26, 2017
Python
Stochastic implementation of a Lotka-Volterra competition model extended to multidimensional niche spaces (published in 10.1103/PhysRevE.91.052107)
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