FernandoDeMeer / Hierarchical-SigCWGANLinks
Implementation of the [Hierarchical (Sig-Wasserstein) GAN] algorithm for large dimensional Time Series Generation: https://doi.org/10.3905/jfds.2022.1.109
☆17Updated 2 years ago
Alternatives and similar repositories for Hierarchical-SigCWGAN
Users that are interested in Hierarchical-SigCWGAN are comparing it to the libraries listed below
Sorting:
- Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.☆15Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆43Updated 6 months ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆46Updated 5 months ago
- Multivariate Multi Step Time Series modelling : Predicting the re-rise of bitcoin prices using RNN and optimising the model using GRU and…☆18Updated 4 years ago
- Non-parametric method for estimating regime change in bivariate time series setting.☆14Updated 8 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- Python package for Feature-based Forecast Model Averaging (FFORMA).☆28Updated 5 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 3 years ago
- ☆33Updated 2 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Examples of causality maps for time series driven by GitHub actions☆15Updated last year
- ☆13Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆93Updated 2 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- ☆50Updated last year
- Code examples for pyFTS☆51Updated 5 years ago
- Calculate predictive causality between time series using information-theoretic techniques☆100Updated 4 years ago
- MTSS-GAN: Multivariate Time Series Simulation with Generative Adversarial Networks (by @firmai)☆94Updated 4 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆55Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆22Updated last year
- Python Code used in publications, for archival purposes only☆20Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Estimators and analysis for extreme value theory (EVT)☆19Updated 4 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 10 months ago