├── .gitignore ├── .idea ├── arpmRes.iml ├── libraries │ └── R_User_Library.xml ├── misc.xml ├── modules.xml └── vcs.xml ├── CONFIG.py ├── LICENSE ├── README.md ├── __init__.py ├── arpym ├── estimation │ ├── cointegration_fp.py │ ├── conditional_fp.py │ ├── cov_2_corr.py │ ├── crisp_fp.py │ ├── effective_num_scenarios.py │ ├── exp_decay_fp.py │ ├── factor_analysis_mlf.py │ ├── factor_analysis_paf.py │ ├── fibox.py │ ├── fit_dcc_t.py │ ├── fit_factor_analysis.py │ ├── fit_garch_fp.py │ ├── fit_lfm_lasso.py │ ├── fit_lfm_lasso_path.py │ ├── fit_lfm_mlfp.py │ ├── fit_lfm_ols.py │ ├── fit_lfm_pcfp.py │ ├── fit_lfm_ridge.py │ ├── fit_lfm_ridge_path.py │ ├── fit_lfm_roblasso.py │ ├── fit_locdisp_mlfp.py │ ├── fit_locdisp_mlfp_difflength.py │ ├── fit_ratings_markov_chain.py │ ├── fit_state_space.py │ ├── fit_t_dof.py │ ├── fit_t_fp.py │ ├── fit_var1.py │ ├── markov_network.py │ ├── min_corr_toeplitz.py │ ├── smooth_kernel_fp.py │ ├── spectrum_shrink.py │ └── var2mvou.py ├── portfolio │ ├── almgren_chriss.py │ ├── char_portfolio.py │ ├── effective_num_bets.py │ ├── minimum_torsion.py │ ├── obj_tracking_err.py │ ├── opt_trade_meanvar.py │ └── spectal_index.py ├── pricing │ ├── bond_value.py │ ├── bootstrap_nelson_siegel.py │ ├── bsm_function.py │ ├── call_option_value.py │ ├── cash_flow_reinv.py │ ├── fit_nelson_siegel_bonds.py │ ├── fit_nelson_siegel_yield.py │ ├── implvol_delta2m_moneyness.py │ ├── nelson_siegel_yield.py │ ├── numeraire_mre.py │ ├── rollvalue_value.py │ ├── rollvalue_ytm.py │ ├── shadowrates_ytm.py │ ├── ytm_shadowrates.py │ └── zcb_value.py ├── statistics │ ├── bootstrap_hfp.py │ ├── cdf_sp.py │ ├── cop_marg_comb.py │ ├── cop_marg_sep.py │ ├── cornish_fisher.py │ ├── ewm_meancov.py │ ├── gaussian_kernel.py │ ├── invariance_test_copula.py │ ├── invariance_test_ellipsoid.py │ ├── invariance_test_ks.py │ ├── kalman_filter.py │ ├── marchenko_pastur.py │ ├── meancov_inverse_wishart.py │ ├── meancov_sp.py │ ├── meancov_wishart.py │ ├── moments_logn.py │ ├── moments_mvou.py │ ├── multi_r2.py │ ├── mvt_logpdf.py │ ├── mvt_pdf.py │ ├── norm_cop_pdf.py │ ├── normal_canonical.py │ ├── objective_r2.py │ ├── pdf_sp.py │ ├── plot_kstest.py │ ├── project_trans_matrix.py │ ├── quantile_sp.py │ ├── saddle_point_quadn.py │ ├── schweizer_wolff.py │ ├── scoring.py │ ├── simulate_bm.py │ ├── simulate_garch.py │ ├── simulate_markov_chain_multiv.py │ ├── simulate_markov_chain_univ.py │ ├── simulate_mvou.py │ ├── simulate_niw.py │ ├── simulate_normal.py │ ├── simulate_normal_dimred.py │ ├── simulate_quadn.py │ ├── simulate_rw_hfp.py │ ├── simulate_t.py │ ├── simulate_unif_in_ellips.py │ ├── simulate_var1.py │ ├── simulate_wishart.py │ ├── smoothing.py │ ├── twist_prob_mom_match.py │ └── twist_scenarios_mom_match.py ├── tools │ ├── adjusted_value.py │ ├── aggregate_rating_migrations.py │ ├── backward_selection.py │ ├── colormap_fp.py │ ├── cpca_cov.py │ ├── forward_selection.py │ ├── gram_schmidt.py │ ├── histogram2d_sp.py │ ├── histogram_sp.py │ ├── mahalanobis_dist.py │ ├── naive_selection.py │ ├── pca_cov.py │ ├── plc.py │ ├── plot_ellipse.py │ ├── plot_ellipsoid.py │ ├── quad_prog.py │ ├── regularized_payoff.py │ ├── sector_select.py │ ├── smart_solve.py │ ├── solve_riccati.py │ ├── trade_quote_processing.py │ ├── trade_quote_spreading.py │ └── transpose_square_root.py ├── usage-examples │ └── s_adjusted_value_example.ipynb └── views │ ├── black_litterman.py │ ├── min_rel_entropy_normal.py │ ├── min_rel_entropy_sp.py │ └── rel_entropy_normal.py ├── functions_legacy ├── ARPM_utils.py ├── AlmgrenChrissTrajectory.py ├── BachelierCallPrice.py ├── BackwardSelection.py ├── BlackLittermanNormal.py ├── BlowSpinFP.py ├── BondPrice.py ├── BondPriceNelSieg.py ├── BootstrapNelSieg.py ├── CalibDegOfFreedomMLFP.py ├── CallPriceHestonFFT.py ├── CashFlowReinv.py ├── Central2Raw.py ├── CentralAndStandardizedStatistics.py ├── ColorCodedFP.py ├── ConditionalFP.py ├── ConditionalPC.py ├── CopMargComb.py ├── CopMargSep.py ├── CopulaOpinionPooling.py ├── CornishFisher.py ├── CrispProbabilities.py ├── Cumul2Raw.py ├── DCCfit.py ├── Delta2MoneynessImplVol.py ├── DetectOutliersFP.py ├── DiffLengthMLFP.py ├── DimRedScenariosNormal.py ├── Dirichlet.py ├── DiscretizeNormalizeParam.py ├── DynPC.py ├── EMalgorithmFP.py ├── EffectiveNumberBets.py ├── EffectiveScenarios.py ├── EwmaFP.py ├── EwmaIncludingStartingDays.py ├── ExponentialDecayProb.py ├── FPmeancov.py ├── FactorAnalysis.py ├── FactorReplication.py ├── FarthestOutlier.py ├── FilterStochasticVolatility.py ├── FitBondPriceNelSieg.py ├── FitCIR_FP.py ├── FitDefaultProb.py ├── FitFractionalIntegration.py ├── FitGARCHFP.py ├── FitGenParetoMLFP.py ├── FitHeston.py ├── FitMarkovChainFP.py ├── FitMultivariateGarch.py ├── FitSigmaSVI.py ├── FitSigmaSVIphi.py ├── FitSkewtMLFP.py ├── FitStochasticVolatilityModel.py ├── FitVAR1.py ├── FitVar_ATMSVI.py ├── FitVasicek.py ├── FitYieldNelSieg.py ├── ForwardSelection.py ├── GHCalibration.py ├── GarchResiduals.py ├── GramSchmidt.py ├── GraphLasso.py ├── GraphicalLasso.py ├── HFPcdf.py ├── HFPquantile.py ├── HestonChFun.py ├── HestonChFun_symb.py ├── HighBreakdownFP.py ├── HistogramFP.py ├── HomCl.py ├── IG.py ├── IncludeDataMVE.py ├── InvarianceTestCopula.py ├── InvarianceTestEllipsoid.py ├── InvarianceTestKolSmirn.py ├── InvarianceTests.py ├── InverseCallTransformation.py ├── InverseWishartPdf.py ├── IterGenMetMomFP.py ├── JumpDiffusionKou.py ├── JumpDiffusionMerton.py ├── KalmanFilter.py ├── LSFP.py ├── LassoRegFP.py ├── Leverage.py ├── LinCombShiftedLogNMoments.py ├── Log2Lin.py ├── MMFP.py ├── MREprobandSDF.py ├── MahalanobisDist.py ├── MapSVIparams.py ├── MarchenkoPastur.py ├── MarkovNet.py ├── MatchTime.py ├── MaxLikFPTReg.py ├── MaxLikelihoodFPLocDispT.py ├── MetrHastAlgo.py ├── MinRelEntFP.py ├── MinRelEntNormal.py ├── MinimumTorsion.py ├── MomentumStrategy.py ├── MultivRsquare.py ├── NIG.py ├── NaiveSelection.py ├── NonParamCointegrationFP.py ├── NormEmpHistFP.py ├── NormInnov.py ├── NormTradPLMeanVar.py ├── NormalCopulaPdf.py ├── NormalMixtureFit.py ├── NormalScenarios.py ├── ObjectiveR2.py ├── ObjectiveTe.py ├── ObjectiveToeplitz.py ├── OrdLeastSquareFPNReg.py ├── PanicTDistribution.py ├── ParamChangeVG.py ├── PathMomMatch.py ├── PathsCauchy.py ├── PerpetualAmericanCall.py ├── PlotDynamicStrats.py ├── PlotTwoDimBand.py ├── PlotTwoDimEllipsoid.py ├── PnlStats.py ├── PnlVolatility_ewma.py ├── PortfolioMomentsLogN.py ├── Price2AdjustedPrice.py ├── PrincCompFP.py ├── ProjDFFT.py ├── ProjMarkovChain.py ├── ProjMomentsVAR1MVOU.py ├── ProjectMoments.py ├── ProjectTransitionMatrix.py ├── ProjectionStudentT.py ├── QuantileGenParetoMLFP.py ├── QuantileMixture.py ├── REnormLRD.py ├── RandNormalInverseWishart.py ├── RandomSplit.py ├── Raw2Central.py ├── Raw2Cumul.py ├── RawMigrationDb2AggrRiskDrivers.py ├── RelEntropyMultivariateNormal.py ├── RemoveFarthestOutlierFP.py ├── Riccati.py ├── RidgeRegFP.py ├── RobustLassoFPReg.py ├── RollPrices2Prices.py ├── RollPrices2YieldToMat.py ├── SDFkern.py ├── SMTCovariance.py ├── SWDepMeasure.py ├── SaddlePointQuadN.py ├── SampleScenProbDistribution.py ├── SatisSmoothQuantile.py ├── ScenProbPdf.py ├── Schout2ConTank.py ├── ScoringAssessmentFP.py ├── SectorSelect.py ├── SharpeRatio.py ├── ShiftedLNMoments.py ├── ShiftedVGMoments.py ├── SigNoConstrLRD.py ├── SigmaSVI.py ├── SimQuadNFP.py ├── SimVAR1MVOU.py ├── SimulateBrownMot.py ├── SimulateCompPoisson.py ├── SmartInverse.py ├── SmoothQuantile.py ├── SmoothStep.py ├── SolveGarleanuPedersen.py ├── SortBySector.py ├── SpectrShrink.py ├── SpectralIndexSatisf.py ├── SpinOutlier.py ├── Stats.py ├── StochTime.py ├── StudentTCopulaPdf.py ├── TCopMargScenariosDimRed.py ├── TestKolSmirn.py ├── TradeQuoteProcessing.py ├── TradeQuoteSpreading.py ├── TransposeSquareRoot.py ├── Tscenarios.py ├── TwistFPMomMatch.py ├── TwistScenMomMatch.py ├── TwoDimEllipsoid.py ├── UnifInsideEllScenarios.py ├── VAR1toMVOU.py ├── VG.py ├── VGpdf.py ├── WishartPdf.py ├── YieldNelSieg.py ├── ZCBHorValue.py ├── ZCBondPriceVasicek.py ├── __init__.py ├── autocorrelation.py ├── binningHFseries.py ├── blsimpv.py ├── blsprice.py ├── cov2corr.py ├── ffgn.py ├── heaviside.py ├── help.py ├── intersect_matlab.py ├── kMeansClustering.py ├── matlab2datetime.py ├── multivariate_student_t_logpdf.py ├── multivariate_student_t_pdf.py ├── mvstdnormcdf.py ├── numHess.py ├── numjacobian.py ├── pcacov.py ├── quadprog.py ├── rombextrap.py └── sigmadelta2mtau.py ├── img ├── general_framework.png ├── prediction_ulti_goal.png └── ten_steps.PNG ├── intro.py ├── requirements.txt ├── scripts └── sources │ ├── S_AggregProjection.py │ ├── S_AggregatesEstimation.py │ ├── S_AggregationReturnScenarioBased.py │ ├── S_AggregationStocksHFP.py │ ├── S_AgnosticCorrPrior.py │ ├── S_AnalyzeLognormalCorrelation.py │ ├── S_AnalyzeNormalCorrelation.py │ ├── S_AnalyzeWishartCorrelation.py │ ├── S_BFEWMAEvolution.py │ ├── S_BackForwEwmaSD.py │ ├── S_BivariateUniformCirclePdf.py │ ├── S_BootstrapSPX.py │ ├── S_CLTStudent.py │ ├── S_CMBootJoin.py │ ├── S_CallOptionFoD.py │ ├── S_CharacteristicPortfSize.py │ ├── S_CholCovCorrMatrix.py │ ├── S_CointVar1CaseStudy.py │ ├── S_ComparisonLFM.py │ ├── S_CopOpPoolUnifView.py │ ├── S_CopulaMarginalDistribution.py │ ├── S_CopulaMarginalEstimationRiskDrivers.py │ ├── S_CopulaMarginalProjectionRiskDrivers.py │ ├── S_CopulaTestNormal.py │ ├── S_CorrNonSynchronousData.py │ ├── S_CouponBondFoD.py │ ├── S_CurseOfDimEnsembleFP.py │ ├── S_DisplayAlternativeBands.py │ ├── S_DisplayLogNEllipsBand.py │ ├── S_DisplayNormEllipsBand.py │ ├── S_DisplayNormWishMargEllipsBand.py │ ├── S_DisplayPanicGHMarg.py │ ├── S_DisplayPanicMkt.py │ ├── S_DisplayStudentTCopulaPdf.py │ ├── S_DiversityIndicator.py │ ├── S_EWMAEvolution.py │ ├── S_EigenvalueDispersion.py │ ├── S_EllipsoidTestEquity.py │ ├── S_EllipsoidTestFracIntegTradeSign.py │ ├── S_EllipsoidTestImpliedVol.py │ ├── S_EllipsoidTestMicroprice.py │ ├── S_EllipsoidTestPnLGARCH.py │ ├── S_EllipsoidTestSVI.py │ ├── S_EllipsoidTestTickTime.py │ ├── S_EllipsoidTestWaitingTimes.py │ ├── S_EllipsoidTestWaitingTimesACDres.py │ ├── S_EnsembleFlexProbs.py │ ├── S_EntropyConvexTest.py │ ├── S_EquivEstimRegLFM.py │ ├── S_EstimateMomentsMixtureEvaluation.py │ ├── S_EstimateMomentsMixtureStressTest.py │ ├── S_EstimateQuantileMixtureEvaluation.py │ ├── S_EstimateQuantileMixtureStressTest.py │ ├── S_EstimationAssessment.py │ ├── S_EvaluationCornishFisherLogN.py │ ├── S_EvaluationMLPMnoCom.py │ ├── S_EvaluationSatisScenBased.py │ ├── S_ExecutionAlmgrenChrissMultidim.py │ ├── S_ExecutionBuyAlgorithm.py │ ├── S_ExecutionGarleanuPedersen.py │ ├── S_ExecutionLogarithmicDecay.py │ ├── S_ExecutionPowerLawDecay.py │ ├── S_FPCopulaHistoricalComb.py │ ├── S_FacRepNormTest.py │ ├── S_FactorReplicationTest.py │ ├── S_FitImpliedVolHeston.py │ ├── S_FitPoissonGMMFP.py │ ├── S_FitSVI.py │ ├── S_FitShiftedLognormal.py │ ├── S_FitYieldVasicek.py │ ├── S_FixNonSynchroneityHFP.py │ ├── S_FlexProbBootstrap.py │ ├── S_FlexProbDirichlet.py │ ├── S_FlexibleCombinationsModels.py │ ├── S_FullyExogenousLFM.py │ ├── S_FullyExogenousLFMBonds.py │ ├── S_FundTheoAPriskneuNum.py │ ├── S_FxCopulaMarginal.py │ ├── S_GarchLikelihood.py │ ├── S_GenCrossSectionEstimLFM.py │ ├── S_GenCrossSectionLFM.py │ ├── S_GenRegEstimLFM.py │ ├── S_GenRegressionLFM.py │ ├── S_HBFPellipsoidConvergence.py │ ├── S_HFPellipsoidFPdependence.py │ ├── S_HFPquantileFPdependence.py │ ├── S_HighFreqFlowVar.py │ ├── S_HighFreqVolumeTime.py │ ├── S_ImpliedLeverageEffect.py │ ├── S_ImpliedVolatilitySurfaceFX.py │ ├── S_IncludeDataMVEConvergence.py │ ├── S_IntegralMP.py │ ├── S_InvariantStandtoUnif.py │ ├── S_InverseCallTransformSigma.py │ ├── S_KolSmirnTestEquity.py │ ├── S_KolSmirnTestImpliedVol.py │ ├── S_KolSmirnTestMicroprice.py │ ├── S_KolSmirnTestNormal.py │ ├── S_KolSmirnTestSVI.py │ ├── S_KolSmirnTestTickTime.py │ ├── S_KolSmirnTestWaitingTimes.py │ ├── S_LFMCSrsquare.py │ ├── S_LFMRegCSLoadComparison.py │ ├── S_LFMRegPCcomparison.py │ ├── S_LFMVarMin.py │ ├── S_LinTransEuclidBasis.py │ ├── S_LogIsoCont.py │ ├── S_LognormEuclidBasis.py │ ├── S_LognormPrincipalBasis.py │ ├── S_LognormalInnovation.py │ ├── S_LongMemoryTradeSign.py │ ├── S_MLFPellipsoidSwapMkt.py │ ├── S_MLFPquantileFPdependence.py │ ├── S_MLdistribApprox.py │ ├── S_MarkovChainMonteCarlo.py │ ├── S_MarkovChainSpread.py │ ├── S_MaximumLikelihood.py │ ├── S_MinVarFacRep.py │ ├── S_MissingObservations.py │ ├── S_MixtureSampleEstimation.py │ ├── S_MonotonicityTradingTrajectoriesAC.py │ ├── S_MultiVarSqrRootRule.py │ ├── S_MultivariateQuest.py │ ├── S_NCopNMarginals.py │ ├── S_NonRobustSampleMeanCov.py │ ├── S_NonRobustSampleMeanCovJackknife.py │ ├── S_NormCondExpectation.py │ ├── S_NormEuclidBasis.py │ ├── S_NormalInnovation.py │ ├── S_NormalizedCovariance.py │ ├── S_NumAnEntropyGradComp.py │ ├── S_NumAnEntropyHessComp.py │ ├── S_NumAnSigNoGradComp.py │ ├── S_NumAnSigNoHessComp.py │ ├── S_NumRiskPropagationHeston.py │ ├── S_OutDetectFPdependence.py │ ├── S_OutliersDetection.py │ ├── S_PlotSDFDistr.py │ ├── S_PortfolioOptimization.py │ ├── S_PredictAssess.py │ ├── S_PricingCallOptionTaylor.py │ ├── S_PricingCarryZcb.py │ ├── S_PricingDefaultCouponBond.py │ ├── S_PricingEquityPLBaseCurrency.py │ ├── S_PricingEquityProfitAndLoss.py │ ├── S_PricingEquityTaylor.py │ ├── S_PricingOptionsHFP.py │ ├── S_PricingScenarioBased.py │ ├── S_PricingStockHFP.py │ ├── S_PricingStocksHFP.py │ ├── S_PricingStocksNorm.py │ ├── S_PricingVarianceSwapCarry.py │ ├── S_PricingZeroCouponBond.py │ ├── S_ProjectionAutocorrelatedProcess.py │ ├── S_ProjectionBootstrap.py │ ├── S_ProjectionCauchy.py │ ├── S_ProjectionChangeCoordinates.py │ ├── S_ProjectionCompPoisson.py │ ├── S_ProjectionFractionalBM.py │ ├── S_ProjectionHFPviaFFT.py │ ├── S_ProjectionHeston.py │ ├── S_ProjectionHybridDefaultableZCB.py │ ├── S_ProjectionLinCompReturns.py │ ├── S_ProjectionLogNorm.py │ ├── S_ProjectionMultivarGARCH.py │ ├── S_ProjectionOptionHFP.py │ ├── S_ProjectionPoisson.py │ ├── S_ProjectionStudent.py │ ├── S_ProjectionSummaryStats.py │ ├── S_ProjectionTimeChange.py │ ├── S_ProjectionTrajectoriesMVOU.py │ ├── S_ProjectionUniform.py │ ├── S_ProjectionVG.py │ ├── S_ProjectionVGSub.py │ ├── S_ProjectionYieldsVAR1HistPC.py │ ├── S_ProxyStocks.py │ ├── S_PtfCompReturn.py │ ├── S_QuantileApproximationEVT.py │ ├── S_QuantileEstimationMLvsHist.py │ ├── S_QuantileEstimatorDistribution.py │ ├── S_RandomMatrixLimitMP.py │ ├── S_RegLFMLinForm.py │ ├── S_RegLFMLogNorm.py │ ├── S_RobustComparHFPvsHBFP.py │ ├── S_RobustComparMedMeanBDP.py │ ├── S_RollingPrice.py │ ├── S_SampleMeanCovErr.py │ ├── S_SemicircleDistribution.py │ ├── S_ShrinkCorrHomClusters.py │ ├── S_ShrinkCovSMT.py │ ├── S_ShrinkLocationStressError.py │ ├── S_ShrinkageSampleCovariance.py │ ├── S_ShrinkageSampleMean.py │ ├── S_SimulateJumpDiffMertonKou.py │ ├── S_SimulateNIGVG.py │ ├── S_SimulateRndVariableSum.py │ ├── S_SizeSignals.py │ ├── S_SpectrumExp.py │ ├── S_SpectrumNorm.py │ ├── S_SpreadNelSieg.py │ ├── S_StatisticalLFM.py │ ├── S_StochasticVolatilityLeverage.py │ ├── S_StockRiskDriversProj.py │ ├── S_SymRegUniv.py │ ├── S_TCopNormalMarginals.py │ ├── S_TestHessianStudent.py │ ├── S_ToeplitzMatrix.py │ ├── S_TradingSpeedAC.py │ ├── S_TranspSquareRoot.py │ ├── S_TruncatedLFM.py │ ├── S_UnconditionalDistribution.py │ ├── S_UnconditionalEstimateMLFP.py │ ├── S_UnconditionalEstimation.py │ ├── S_rSquareData.py │ ├── s_affine_equiv_exp_cov.py │ ├── s_affine_equiv_mode_mode_disp.py │ ├── s_aggregation_exante_perf.py │ ├── s_aggregation_norm.py │ ├── s_aggregation_options_hfp.py │ ├── s_aggregation_quad.py │ ├── s_aggregation_regcred.py │ ├── s_aggregation_scen_prob.py │ ├── s_analyze_rates_jgb.py │ ├── s_ann_regression.py │ ├── s_attribution_hedging.py │ ├── s_attribution_norm.py │ ├── s_attribution_scen_prob.py │ ├── s_autocov_spec_dens_ar1.py │ ├── s_autoencoders_kmeans.py │ ├── s_bandpass_filter_ar1.py │ ├── s_bayes_posterior_niw.py │ ├── s_bayes_prior_niw.py │ ├── s_bayesian_estimation.py │ ├── s_bias_vs_variance_lognormal.py │ ├── s_bias_vs_variance_normal.py │ ├── s_bivariate_wishart.py │ ├── s_bl_equilibrium_ret.py │ ├── s_bond_carry.py │ ├── s_call_mean_lin_regression.py │ ├── s_call_mean_regression.py │ ├── s_call_quant_lin_regression.py │ ├── s_call_quant_regression.py │ ├── s_capm_like_identity.py │ ├── s_characteristic_port_rev.py │ ├── s_chebyshev_ineq.py │ ├── s_checklist_executive_summary.py │ ├── s_checklist_scenariobased_step01.py │ ├── s_checklist_scenariobased_step02.py │ ├── s_checklist_scenariobased_step03.py │ ├── s_checklist_scenariobased_step04.py │ ├── s_checklist_scenariobased_step05.py │ ├── s_checklist_scenariobased_step06.py │ ├── s_checklist_scenariobased_step07.py │ ├── s_checklist_scenariobased_step08.py │ ├── s_checklist_scenariobased_step09.py │ ├── s_checklist_scenariobased_step10.py │ ├── s_checklist_scenariobased_steps03_04_historical.py │ ├── s_cointegration_detection.py │ ├── s_cointegration_signal.py │ ├── s_continuum_discrete_generative_pred.py │ ├── s_continuum_discrete_point_pred.py │ ├── s_cop_marg_combination.py │ ├── s_cop_marg_separation.py │ ├── s_cop_marg_stresstest.py │ ├── s_copula_returns.py │ ├── s_cpca_vs_pca.py │ ├── s_cross_section_lfm.py │ ├── s_cross_section_truncated_lfm.py │ ├── s_currency_carry.py │ ├── s_current_values.py │ ├── s_dcc_fit.py │ ├── s_decision_tree_normal.py │ ├── s_default_merton_model.py │ ├── s_default_probabilities.py │ ├── s_dependence_structure_call_put.py │ ├── s_different_length_series.py │ ├── s_display_corr_norm_ellips.py │ ├── s_display_dirac_delta.py │ ├── s_display_norm_copula.py │ ├── s_dyn_principal_component_var.py │ ├── s_dynamic_port_strats.py │ ├── s_ellipsoid_multiv_exp_cov.py │ ├── s_elltest_compret.py │ ├── s_elltest_garchres_stock.py │ ├── s_elltest_normal.py │ ├── s_elltest_ytm_dailychanges.py │ ├── s_elltest_ytm_monthly.py │ ├── s_elltest_ytm_ns.py │ ├── s_encoding.py │ ├── s_ens_exp_decay.py │ ├── s_ens_two_scenarios.py │ ├── s_entropy_view.py │ ├── s_estimation_copmarg_calloption.py │ ├── s_estimation_copmarg_ratings.py │ ├── s_evaluation_certainty_equiv.py │ ├── s_evaluation_cornishfisher_stocks.py │ ├── s_evaluation_eco_cap.py │ ├── s_evaluation_satis_norm.py │ ├── s_evaluation_satis_scenprob.py │ ├── s_execution_child_order.py │ ├── s_execution_exog_impact.py │ ├── s_execution_opt_satisfaction_quantile.py │ ├── s_execution_sell_algorithm.py │ ├── s_execution_trading_traject.py │ ├── s_exp_decay_fp.py │ ├── s_factor_analysis_algos.py │ ├── s_factor_replication_logn.py │ ├── s_factors_selection.py │ ├── s_fit_discrete_markov_chain.py │ ├── s_fit_garch_stocks.py │ ├── s_fit_var1_implvol.py │ ├── s_fit_yield_ns.py │ ├── s_fit_yields_var1.py │ ├── s_flexible_characteristic_port_rev.py │ ├── s_full_dependence.py │ ├── s_fund_theorem.py │ ├── s_fx_rates_vs_logrates.py │ ├── s_gamma_to_uniform.py │ ├── s_gaussian_mixture.py │ ├── s_generalized_expon_entropy.py │ ├── s_generalized_flam_toy.py │ ├── s_glivenko_cantelli.py │ ├── s_glivenko_cantelli_hfp.py │ ├── s_gradient_boosting.py │ ├── s_hidden_markov_model_stocks.py │ ├── s_high_freq_stock_var.py │ ├── s_high_freq_tick_time.py │ ├── s_implied_volatility_surface.py │ ├── s_info_processing_comparison.py │ ├── s_kalman_filter_yield_curve.py │ ├── s_kolmsmirn_compret.py │ ├── s_kolmsmirn_ytm.py │ ├── s_kolmsmirn_ytm_ns.py │ ├── s_lasso_vs_ridge.py │ ├── s_lfm_executive_summary.py │ ├── s_linclass_ann_svm.py │ ├── s_linclass_fda.py │ ├── s_linclass_perceptron.py │ ├── s_linclass_regression.py │ ├── s_linclass_svm.py │ ├── s_location_estimators.py │ ├── s_location_stress_error.py │ ├── s_logn_mean_lin_regression.py │ ├── s_logn_mean_regression.py │ ├── s_logn_quant_lin_regression.py │ ├── s_logn_quant_regression.py │ ├── s_logn_uncertainty_bands.py │ ├── s_lognorm_to_uniform.py │ ├── s_market_prediction_regression.py │ ├── s_mean_var_solution.py │ ├── s_mean_var_solution_robust.py │ ├── s_min_entropy_fp.py │ ├── s_min_rel_ent_distr_view.py │ ├── s_min_rel_ent_partial_view.py │ ├── s_min_rel_ent_point_view.py │ ├── s_min_vol_ellips.py │ ├── s_mlfp_ellipsoid_convergence.py │ ├── s_momentum_signals.py │ ├── s_norm_const_sw.py │ ├── s_normal_exponential_family.py │ ├── s_normal_mean_regression.py │ ├── s_normal_to_uniform.py │ ├── s_order_imbal_signal.py │ ├── s_pca_empirical.py │ ├── s_pca_truncated_lfm.py │ ├── s_pca_yield.py │ ├── s_price_pred_signal.py │ ├── s_pricing_calloption.py │ ├── s_pricing_couponbond.py │ ├── s_pricing_couponbond_taylor.py │ ├── s_pricing_zcb.py │ ├── s_principal_component_lfm.py │ ├── s_projection_brownian_motion.py │ ├── s_projection_calloption.py │ ├── s_projection_multiv_ratings.py │ ├── s_projection_stock_bootstrap.py │ ├── s_projection_stock_hfp.py │ ├── s_projection_univ_rating.py │ ├── s_projection_var1_yields.py │ ├── s_rand_ols_estim.py │ ├── s_rating_migrations.py │ ├── s_reg_lfm_bayes_posterior_niw.py │ ├── s_reg_lfm_bayes_prior_niw.py │ ├── s_reg_truncated_lfm.py │ ├── s_regression_lfm.py │ ├── s_risk_attrib_torsion.py │ ├── s_risk_attrib_variance.py │ ├── s_risk_attribution_norm.py │ ├── s_risk_attribution_scen_prob.py │ ├── s_risk_neutral_density.py │ ├── s_rn_derivative_mre.py │ ├── s_saddle_point_vs_mcfp_quadn.py │ ├── s_sample_mean_covariance.py │ ├── s_scen_prob_pdf.py │ ├── s_scen_prob_quantile.py │ ├── s_second_order_dominance.py │ ├── s_selection_toy.py │ ├── s_shrink_corr_clusters.py │ ├── s_shrink_cov_glasso.py │ ├── s_shrink_spectrum_filt.py │ ├── s_shrinkage_factor.py │ ├── s_shrinkage_location.py │ ├── s_simulate_call.py │ ├── s_simulate_payoff.py │ ├── s_simulate_unif_in_ellipse.py │ ├── s_smooth_kernel_fp.py │ ├── s_sp_anova.py │ ├── s_spectral_representation.py │ ├── s_spectral_theorem.py │ ├── s_state_crisp_fp.py │ ├── s_stock_long_horizon.py │ ├── s_stock_selection.py │ ├── s_stock_short_horizon.py │ ├── s_strong_dominance.py │ ├── s_supervised_classification.py │ ├── s_systematic_idiosyncratic_lfm.py │ ├── s_toeplitz_spectral.py │ ├── s_trade_autocorr_signal.py │ ├── s_uncorr_no_indep.py │ ├── s_uniform_to_gamma.py │ ├── s_uniform_to_lognorm.py │ ├── s_uniform_to_normal.py │ ├── s_views_cdf.py │ ├── s_views_cond_exp.py │ ├── s_views_cond_prob.py │ ├── s_views_correlations.py │ ├── s_views_gen_expectations.py │ ├── s_views_linear_exp.py │ ├── s_views_sorted_exp.py │ ├── s_views_st_deviations.py │ ├── s_volatility_clustering_stock.py │ ├── s_volume_cluster_signal.py │ ├── s_weak_dominance.py │ ├── s_yield_change_correlation.py │ └── s_yield_curve_evolution.py ├── src.py ├── src_data.py └── venv └── pyvenv.cfg /.gitignore: -------------------------------------------------------------------------------- 1 | venv/ 2 | databases/ 3 | -------------------------------------------------------------------------------- /.idea/arpmRes.iml: 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