RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-NetworksLinks
Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performance of the two models (HAR & Neural Networks). - The data used in this project is 2 years worth of intraday 5-minute realized volatility (See: Sheppard, Patton, Liu, 2012) from 20 Dow Jones stocks, that has bee…
☆19Updated 5 years ago
Alternatives and similar repositories for HighFrequencyEconometrics-HAR-vs.-Neural-Networks
Users that are interested in HighFrequencyEconometrics-HAR-vs.-Neural-Networks are comparing it to the libraries listed below
Sorting:
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆18Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- quantitative asset allocation strategy☆33Updated 9 months ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆17Updated 6 years ago
- ☆15Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆41Updated 10 months ago
- ☆24Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Baruch MFE 2019 Spring☆41Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- ☆12Updated last year
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- ☆18Updated 7 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 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
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- ☆20Updated 9 months ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago