diffusions, continuous time processes (and other

[josef...@gmail.com]

https://stackoverflow.com/questions/45870932/calibrating-ornstein-uhlenbeck-model-with-python

Once upon a time I was doing finance for a few years. As a consequence there is the start of ambitious projects for diffusion (continuous time stochastic processes) and for copulas (and for GARCH) in the sandbox. Every once in a while someone finds these modules.

GARCH is now covered in Python by Kevin (and he know those models much better than I do)

I have no idea if anyone is working on diffusion processes in Python.

I have not seen anyone working on copulas, but they are still on my statsmodels wishlist because they have a wider range of application for multivariate or correlated models.

(In Finance there were good license compatible packages by Meucci in matlab and Thierry Roncalli in Gauss. Otherwise finance didn't seem conducive to open source with non-restrictive licenses, at least at that time.)

Josef