The microprediction stack

A collection of tiny, dependency free Python and Javascript packages. Some novel. Some SOTA.

volatility estimation timemachines streaming anomalies allocation streaming portfolios skaters distributional forecasting winning correlated races · factor probit precise online covariance humpday online black-box optimization ice-skaters prophet-laplace river online ML prophet calibrated by skaters skfolio portfolio construction scikit-learn estimator API optuna raced in benchmarks
feeds plays well with core application outside package

Sites

Research and educational resources.

schurSchur portfolios mechanismsmarkets & scoring rules inventoryinventory & pricing conformalconformalprediction.net bookthe MIT Press book firstdownNFL first-down strategy pitllmpoint-in-time LLMs brownianbanditbudgeted Brownian races browniansearchfew-shot search on Brownian paths