AlanWangyl / Replication-Autoencoder-Asset-Pricing-ModelsLinks
☆11Updated last year
Alternatives and similar repositories for Replication-Autoencoder-Asset-Pricing-Models
Users that are interested in Replication-Autoencoder-Asset-Pricing-Models are comparing it to the libraries listed below
Sorting:
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆14Updated last year
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- ☆28Updated 3 years ago
- ☆25Updated 9 years ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆42Updated 5 years ago
- Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.☆26Updated 4 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆54Updated 2 weeks ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Updated last year
- A log likelihood process for optimal entry / exit / stopping.☆14Updated 3 years ago
- ☆26Updated last year
- Package to build risk model for factor pricing model☆28Updated last year
- ☆41Updated 4 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 7 months ago
- A Practical Guide to a Simple Data Stack.☆40Updated 11 months ago
- ☆24Updated 5 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Updated 3 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆17Updated 3 years ago
- Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…☆23Updated 6 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …☆26Updated 9 months ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- ☆16Updated 4 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Enhanced Portfolio Optimization (EPO)☆14Updated last year
- Hawkes with Latency☆20Updated 4 years ago