diff --git a/.gitignore b/.gitignore index f52c457a..a54da871 100644 --- a/.gitignore +++ b/.gitignore @@ -16,3 +16,4 @@ TODO.tdl *.hpp *.dll tmp* +posterior_database/run_reference_stochastic_volatility.py diff --git a/posterior_database/bibliography/references.bib b/posterior_database/bibliography/references.bib index 207d98dc..155ee66d 100644 --- a/posterior_database/bibliography/references.bib +++ b/posterior_database/bibliography/references.bib @@ -314,3 +314,13 @@ @article{crowder1978beta abstract = {Summary A method is proposed for the regression analysis of proportions based on the Beta-binomial distribution.}, year = {1978} } + +@article{hoffman2014nuts, + author = {Hoffman, Matthew D. and Gelman, Andrew}, + title = {The No-U-Turn Sampler: Adaptively Setting Path Lengths in {H}amiltonian {M}onte {C}arlo}, + journal = {Journal of Machine Learning Research}, + year = {2014}, + volume = {15}, + number = {1}, + pages = {1593--1623} +} diff --git 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+import pandas as pd + +# --- Configuration ----------------------------------------------------------- + +TICKER = "^GSPC" # S&P 500 index on Yahoo Finance +START = "2010-01-01" +END = "2022-01-01" +N_DAYS = 3000 # number of prices T (Hoffman & Gelman use "3000 days") + +HERE = os.path.dirname(os.path.abspath(__file__)) +CSV_PATH = os.path.join(HERE, "sp500_raw.csv") +DATA_DIR = os.path.normpath(os.path.join(HERE, "..", "..", "data")) +JSON_NAME = "stochastic_volatility.json" +ZIP_PATH = os.path.join(DATA_DIR, "stochastic_volatility.json.zip") + + +# --- Step 1: get the raw price series (download once, then cache) ------------ + +def load_prices(): + if os.path.exists(CSV_PATH): + print(f"Reading cached prices from {CSV_PATH}") + df = pd.read_csv(CSV_PATH, parse_dates=["Date"]) + else: + print(f"Downloading {TICKER} from Yahoo Finance ({START} -> {END})") + import yfinance as yf + raw = yf.download( + TICKER, start=START, end=END, progress=False, auto_adjust=False + ) + if raw.empty: + raise RuntimeError( + "Download returned no data. Yahoo's API may be temporarily unavailable; try again or supply sp500_raw.csv manually." + ) + # yfinance can return a MultiIndex column for a single ticker; flatten it. + close = raw["Close"] + if isinstance(close, pd.DataFrame): + close = close.iloc[:, 0] + df = close.reset_index() + df.columns = ["Date", "Close"] + df.to_csv(CSV_PATH, index=False) + print(f"Cached raw prices to {CSV_PATH} ({len(df)} rows)") + return df + + +# --- Step 2: build T and y, then write the zipped JSON ----------------------- + +def main(): + df = load_prices() + df = df.dropna(subset=["Close"]).sort_values("Date").reset_index(drop=True) + + if len(df) < N_DAYS: + raise RuntimeError( + f"Only {len(df)} trading days available; need {N_DAYS}. " + "Widen the START/END window." + ) + + prices = df["Close"].iloc[:N_DAYS].astype(float).tolist() + + data = { + "T": N_DAYS, + "y": prices, + } + + os.makedirs(DATA_DIR, exist_ok=True) + with zipfile.ZipFile(ZIP_PATH, "w", zipfile.ZIP_DEFLATED) as zf: + zf.writestr(JSON_NAME, json.dumps(data)) + + print(f"Wrote {ZIP_PATH}") + print(f" T = {data['T']}") + print(f" y: {len(data['y'])} prices, " + f"range [{min(prices):.2f}, {max(prices):.2f}]") + + +if __name__ == "__main__": + main() \ No newline at end of file diff --git a/posterior_database/data/data/stochastic_volatility.json.zip b/posterior_database/data/data/stochastic_volatility.json.zip new file mode 100644 index 00000000..c59cc3ab Binary files /dev/null and b/posterior_database/data/data/stochastic_volatility.json.zip differ diff --git a/posterior_database/data/info/stochastic_volatility.info.json b/posterior_database/data/info/stochastic_volatility.info.json new file mode 100644 index 00000000..9092433b --- /dev/null +++ b/posterior_database/data/info/stochastic_volatility.info.json @@ -0,0 +1,11 @@ +{ + "name": "stochastic_volatility", + "keywords": ["time_series", "stochastic_volatility", "marginalized"], + "title": "Stochastic Volatility Model with Marginalized Precision", + "description": "Stochastic volatility model from Hoffman & Gelman (2014, NUTS paper, p. 1614-1615). Daily log-returns follow a Student-t distribution with time-varying scale s_i. The log-scale follows a Gaussian random walk with precision tau, which is marginalized analytically. Resulting posterior is T-dimensional over (s, nu), where T is the number of data points.", + "urls": "https://www.jmlr.org/papers/v15/hoffman14a.html", + "data_file": "data/data/stochastic_volatility.json", + "references": "hoffman2014nuts", + "added_date": "2026-05-21", + "added_by": "Colin Pochart" +} \ No newline at end of file diff --git a/posterior_database/models/info/stochastic_volatility.info.json b/posterior_database/models/info/stochastic_volatility.info.json new file mode 100644 index 00000000..73665ad6 --- /dev/null +++ b/posterior_database/models/info/stochastic_volatility.info.json @@ -0,0 +1,17 @@ +{ + "name": "stochastic_volatility", + "keywords": ["time_series", "stochastic_volatility", "marginalized"], + "title": "Stochastic Volatility Model with Marginalized Precision", + "description": "Stochastic volatility model from Hoffman & Gelman (2014, NUTS paper, p. 1614-1615). Daily log-returns follow a Student-t distribution with time-varying scale s_i. The log-scale follows a Gaussian random walk with precision tau, which is marginalized analytically. Resulting posterior is T-dimensional over (s, nu), where T is the number of data points.", + "urls": "https://www.jmlr.org/papers/v15/hoffman14a.html", + "model_implementations": { + "stan": { + "model_code": "models/stan/stochastic_volatility.stan", + "stan_version": ">=2.26.0" + } + }, + "references": "hoffman2014nuts", + "added_date": "2026-05-21", + "added_by": "Colin Pochart", + "licence": "BSD3" +} \ No newline at end of file diff --git a/posterior_database/models/stan/stochastic_volatility.stan b/posterior_database/models/stan/stochastic_volatility.stan new file mode 100644 index 00000000..2c93c35c --- /dev/null +++ b/posterior_database/models/stan/stochastic_volatility.stan @@ -0,0 +1,37 @@ +data { + intT; //number of days + vector[T] y; //index values of sp500 +} + +transformed data { + vector[T-1] log_returns; + for (i in 1:(T-1)) { + log_returns[i] = log(y[i+1]) - log(y[i]); + } +} + +parameters { + real nu; // degrees of freedom of Student-t + vector[T-1] s; // scale parameters at each day +} + +model { + // Prior on nu: Exponential(100) => log p(nu) = -0.01 * nu + const + target += -0.01 * nu; + + // Prior on s[1]: Exponential(100) => log p(s[1]) = -0.01 * s[1] + const + target += -0.01 * s[1]; + + // Likelihood: (log y_i - log y_{i-1}) / s_i ~ t_nu + for (i in 1:(T-1)) { + target += student_t_lpdf(log_returns[i] | nu, 0, s[i]); + } + + { + real sum_sq = 0; + for (i in 2:T-1) { + sum_sq += square(log(s[i]) - log(s[i-1])); + } + target += -((T + 1) / 2.0) * log(0.01 + 0.5 * sum_sq); + } +} \ No newline at end of file diff --git a/posterior_database/posteriors/stochastic_volatility-stochastic_volatility.json b/posterior_database/posteriors/stochastic_volatility-stochastic_volatility.json new file mode 100644 index 00000000..6932e9ca --- /dev/null +++ b/posterior_database/posteriors/stochastic_volatility-stochastic_volatility.json @@ -0,0 +1,15 @@ +{ + "name": "stochastic_volatility-stochastic_volatility", + "keywords": ["stan benchmark", "stochastic volatility", "time series", "nuts paper"], + "urls": "https://arxiv.org/abs/1111.4246", + "model_name": "stochastic_volatility", + "data_name": "stochastic_volatility", + "reference_posterior_name": null, + "references": ["hoffman2014nuts"], + "dimensions": { + "nu": 1, + "s": 2999 + }, + "added_date": "2026-05-28", + "added_by": "Colin Pochart" +} \ No newline at end of file