KidQuant / Forecasting-VAR-Granger-CausalityLinks
☆15Updated 6 years ago
Alternatives and similar repositories for Forecasting-VAR-Granger-Causality
Users that are interested in Forecasting-VAR-Granger-Causality are comparing it to the libraries listed below
Sorting:
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Updated 2 years ago
- ☆28Updated last year
- ☆20Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 11 months ago
- detecting regime of financial market☆44Updated 3 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago
- Regime-Switching Model☆20Updated 8 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 5 years ago
- Non-parametric method for estimating regime change in bivariate time series setting.☆15Updated 8 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- By combining GARCH(1,1) and LSTM model implementing predictions.☆58Updated 7 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 last year
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆99Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago
- quantitative asset allocation strategy☆34Updated last year
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- Jupyter Notebooks Collection for Learning Time Series Models☆76Updated 6 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- ☆75Updated 3 years ago
- ☆47Updated 4 years ago
- Hidden Markov Model (HMM) based stock forecasting☆103Updated 7 years ago