stochax 0.2.0

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stochax 📈

Stochastic processes in python

The file pyproject.toml contains the packages needed for the installation. The code requires python3.12+.

Installation

To install the package the simplest procedure is:

pip install stochax

Now you can test the installation... In a python shell:

import stochax as sx

sx.__version__

Installation from source

Once you have cloned the repository

pip install .

To use the develop mode just write pip install -e ..

Examples

Data simulation

import stochax as sx

abm = sx.ArithmeticBrownianMotion(mu=0.25, sigma=1.7)
realizations = abm.simulate(
    initial_value=1,
    n_steps=5
)

print(realizations)

          0
0  1.000000
1  3.567428
2  4.163523
3  4.874200
4  6.132376
5  5.651274

Model fit

import stochax as sx

abm = sx.ArithmeticBrownianMotion(mu=0.25, sigma=1.7)
realizations = abm.simulate(
    initial_value=1,
    n_steps=100
)
gbm = sx.GeometricBrownianMotion()
gbm.calibrate(realizations)

print(gbm)

GeometricBrownianMotion(mu=0.08278617288074738, sigma=0.33330614384487633)

Further examples can be found the examples folder.