High-frequency statistical arbitrage

Python code of commonly used stochastic models for Monte-Carlo simulations

🦀 Scientific Computing Benchmark: Rust 🦀 vs Zig ⚡ vs the father C 👴

Hamiltonian Monte Carlo (HMC) sampling method in Python3, based on the original paper: Simon Duane, Anthony D. Kennedy, Brian J. Pendleton and Duncan Roweth (1987). "Hybrid Monte Carlo". Physics Letters B. 195 (2): 216–222.

Variational quantum simulations of stochastic differential equations

Python simulations for CTRWs Ornstein-Uhlenbeck process with different stability index

Ornstein unlenbeck process simulation in python

Mean Reversion Trend Analysis with the Ornstein–Uhlenbeck Model

Stochastic Differential Equations and Temperature — NASA Climate Data pt. 2 The Ornstein-Uhlenbeck process in Python

Verification of a quantitative trading strategy using bootstrap OU calibration and backtesting.

Synthetic Data Generation

A Pyro-PPL implementation of a 2D Ornstein-Uhlenbeck process using stochastic variational inference.

This repository contains some codes simulating diffusion procceses whose diffusion coefficient has stochastic nature. In particular in the Diffusing diffusivity case the diffusion coefficient is distributed according to the Ornstein-Uhlenbeck process while the Dice Brownian is a Random Walk where the step length varies randomly.

Stochastic Processes: Basic Examples

Euro SSA repo desk RV framework : market-implied carry & Z-spread analysis (KfW/EIB vs Bund) and synthetic Bund CTD specialness model (Ornstein-Uhlenbeck process) with live Streamlit dashboard.

An illustration of a stock-trading algorithm using the Ornstein-Uhlenbeck stochastic process.

Includes generic modules for solving everyday quantitative investment problems. Currently containing simulation and optimization. Aiming to also cover model-fit, data-analysis, metrics.

Solve the Inverted Pendulum Control problem using Deep Deterministic Policy Gradient model

Implementation of a Denoising Diffusion Probabilistic Model with some mathematical background.