Nyarukotep / arma-garch-modelLinks
A stock price prediction model based on ARMA and GARCH
☆23Updated last year
Alternatives and similar repositories for arma-garch-model
Users that are interested in arma-garch-model are comparing it to the libraries listed below
Sorting:
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- detecting regime of financial market☆41Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- A collection of Python notebooks demonstrating the integration of AI with financial strategies.☆18Updated 3 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 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
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- quantitative asset allocation strategy☆33Updated 9 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- ☆26Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- ☆41Updated 4 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆85Updated 3 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆58Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆14Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- ARIMA & GARCH models for stock price prediction☆23Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- ☆45Updated 2 years ago