DeepIntoStreams / Evaluation-of-Time-Series-Generative-ModelsLinks
Pipeline for Time Series Generation with Comprehensive Evaluation Metrics
☆43Updated 10 months ago
Alternatives and similar repositories for Evaluation-of-Time-Series-Generative-Models
Users that are interested in Evaluation-of-Time-Series-Generative-Models are comparing it to the libraries listed below
Sorting:
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆132Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆33Updated last year
- ☆28Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated last year
- Calculate predictive causality between time series using information-theoretic techniques☆104Updated 4 years ago
- Bayesian neural network with Parallel Tempering MCMC for Stock Market Prediction☆41Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆50Updated 5 years ago
- Implementation of the [Hierarchical (Sig-Wasserstein) GAN] algorithm for large dimensional Time Series Generation: https://doi.org/10.390…☆17Updated 2 years ago
- Thesis project done on Generation Financial Time-Series with GANs. The project was a collaboration between Wholesale Banking Advanced Ana…☆71Updated 5 years ago
- ☆21Updated 11 months ago
- Modeling of intraday volatility and volume in financial markets☆15Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- ☆20Updated 2 weeks ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]☆22Updated 4 years ago
- Winner-takes-all for Multivariate Probabilistic Time Series Forecasting☆51Updated 2 months ago
- code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios☆19Updated last month
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- Standard and Hybrid Deep Learning Multivariate-Multi-Step & Univariate-Multi-Step Time Series Forecasting.☆61Updated last year
- Estimators and analysis for extreme value theory (EVT)☆22Updated 4 years ago
- Reproduce AAAI22-FactorVAE☆68Updated 2 years ago
- Conformal Prediction for Time Series with Modern Hopfield Networks☆82Updated 5 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 10 months ago
- Conformal Prediction - A Practical Guide with MAPIE☆17Updated last year
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- This repository implements a Diffusion Factor Model for financial data.☆21Updated last week
- ☆66Updated 3 years ago
- Market simulator☆61Updated 5 years ago