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crps

Here are 19 public repositories matching this topic...

Ensemble price forecasting with volatility prediction (XGBoost on cached features). Multiple simulated paths per request; CRPS scoring for calibration and sharpness. Synthetic price data for options and portfolio analytics. Python, XGBoost, NumPy, Pandas, properscoring, Pyth API, PostgreSQL, Pydantic, Docker.

  • Updated Mar 13, 2026
  • Python
wasserstein-btc

Distributional crypto-return forecasting via Wasserstein-geodesic extrapolation in quantile-function space. WGeo family wins 12/12 (asset × horizon) cells over 6.75y walk-forward CRPS vs GARCH and classical baselines. v0.4.

  • Updated Jun 4, 2026
  • Python

Links calibrated deep probabilistic forecasting to reinforcement-learning monetary policy through a shared belief state. A CRPS-trained multi-scale LSTM supplies time-varying uncertainty to a POMDP central bank; realistic beliefs collapse the learned Taylor coefficient from ~1.1 to ~0.02 across every seed under both PPO and SAC.

  • Updated Aug 17, 2026
  • Jupyter Notebook

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