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Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, such as that on Medium. Those for the book are mostly originally written for the RATS time-series analysis system, which is commercial software, so I have begun porting the code to Python Notebooks written for Google's colab https://colab.research.google.com. This is mostly what I will post here. The figures for the book will be generated by notebooks titled "Section n.n.n Section Title" etc.
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98
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Further corrections to represent nu -> kappa transformation.
8f33cbfView on GitHubTransforming Shepard "nu"/Wikipedia "beta" to Giller "kappa" parameterization.
6c45d19View on GitHubVersion of the GARCH process modified to change the bounds so that Laplace models etc. can be fitted.
249120dView on GitHubChanged GED implementation to include Laplace like processes.
109c523View on GitHubChanged GED implementation to have proper bounds (so that the Laplace can be fitted etc.).
02bf343View on GitHubChanged to use pandas.concat() rather than DataFrame.append().
8bb3e98View on GitHub