{"repo":"vivek-v-rao/ReturnDistributions","free":true,"listed":false,"github":"https://github.com/vivek-v-rao/ReturnDistributions","clone":"git clone https://github.com/vivek-v-rao/ReturnDistributions.git","description":"Fit many probability distributions from SciPy to asset returns and rank them.","language":"Python","stars":14,"topics":["probability-distribution","quantitative-finance","statistics","scipy-stats","density-estimation","return-distributions"],"license":"MIT","category":"trading","readme_excerpt":"ReturnDistributions Fit many probability distributions from SciPy to asset returns and rank them. Run with python xscipy dist returns.py . To fit returns normalized by trailing exponentially weighted volatility set normalize vol ewma = True . Some distributions that generally fit returns well are the Johnson's SU, Normal-Inverse Gaussian, and Student's t. For VXX (which tracks VIX futures) and to a lesser extent SPY, distributions that allow for skew fit better. The canonical normal distribution fits the worst, because it is thin-tailed. Total runtime: 42.79 s","default_branch":null,"files":null,"tree":[],"storefront":"/r/vivek-v-rao","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/vivek-v-rao/ReturnDistributions/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}