ellisonbg/quantfi — pull request #3 by rmorshea (2014-11-07 00:18:23+00:00)
Title: rmorshea summer 2014 quantfi research

.ipynb examples/analysis
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**brwnn-exp.ipynb**
+ contains some source code from `brownian.exp` and `brownian.expmo`
+ implements euler and analytical solutions with comparisons between the two
+ has brief test of `brownian.wiener.raise_res` on `brownian.expmo`

**brwnn-raise_res.ipynb**
+ contains some source code from `brownian.wiener.raise_res`
+ tests `raise_res` by comparing generated distributions to true distributions.

**opt_params.ipynb**
+ analysis of expectation method for optimizing the parameters of `exp` and `expmo` (both euler/analytical)
+ attempt at a true optimization method using the ks-test (problem identified with no fixes)

**plt_price_series.ipynb**
+ ignore

**poisson_process.ipynb**
+ contains source code from `poisson.py`
+ compares `cmpd_instpoiss` and `cmpd_predpoiss` as methods for creating poisson processes

**sornette_model.ipynb**
+ brief attempt at recreating the model described in the linked paper

**wiener_process.ipynb**
+ brief demonstration of a wiener process

.py files
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**brownian/exp.py**
+ module for exponential brownian motion with drift
+ methods for retracing wiener processes to create price series
+ both euler/analytical
+ method for retracing price series to create a wiener process
+ both euler/analytical
+ method for computing the expected parameters (mu, sigma) for the euler DE
+ both euler/analytical
+ method for comparing a trace's histogrammed fds to a normal distribution

**brownian/expmo.py**
+ module for exponential brownian motion with drift and momentum
+ methods for retracing wiener processes to create price series
+ both euler/analytical
+ method for retracing price series to create a wiener process
+ both euler/analytical

**brownian/wiener.py**
+ method for creating a wiener process
+ method for increasing the resolution of a wiener process `raise_res`

**poisson.py**
+ two methods for generating poisson process (`cmpd_instpoiss` and `cmpd_predpoiss`)