Liuyi-Hu / regime_switch_modelLinks
Regime-Switching Model
☆18Updated 7 years ago
Alternatives and similar repositories for regime_switch_model
Users that are interested in regime_switch_model are comparing it to the libraries listed below
Sorting:
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆66Updated 2 years 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
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆29Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆26Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- ☆73Updated 3 years ago
- ☆19Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- ☆24Updated 5 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- ☆25Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 2 years ago
- ☆12Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- ☆23Updated 3 years ago
- ☆19Updated 8 years ago
- ☆16Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago