EsterHlav / Time-Series-AR-Modelling-in-Cpp
Developed a fast implementation of autoregressive models with fitting, ACF/PACF tests and forecasting.
☆11Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for Time-Series-AR-Modelling-in-Cpp
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- 用SVM构建高频交易策略☆13Updated 5 years ago
- Dynamic lead/lag inference for time series☆14Updated 5 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last month
- ☆11Updated 8 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆46Updated 2 years ago
- ☆19Updated 4 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆12Updated 3 years ago
- Wasserstein GAN with gradient penalty (WGAN-GP) applied to financial time series.☆16Updated 6 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- Unsupervised Learning to Market Behavior Forecasting Example☆40Updated 4 years ago
- modified Temporal Fusion Transformer to predict multiple cryptocurrency coin futures☆12Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)☆27Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆15Updated 2 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 4 years ago
- 基于C++的期货策略回测平台☆10Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 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…☆30Updated 2 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆63Updated 3 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆23Updated last year
- Stock Market Prediction Using Unsupervised Features☆53Updated 6 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year