SakethAleti / ECON-690-HighFrequencyEconometricsLinks
Code and documents from Econ 690 at Duke
☆9Updated 3 years ago
Alternatives and similar repositories for ECON-690-HighFrequencyEconometrics
Users that are interested in ECON-690-HighFrequencyEconometrics 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…☆17Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆19Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Quant finance scripts☆16Updated 3 months ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- ☆22Updated 3 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- ☆17Updated 3 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 3 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Q-quant和因子投资实证汇总☆21Updated 4 years ago
- ☆19Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆14Updated 2 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 5 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 3 years ago
- ☆15Updated 4 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…☆13Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆16Updated 7 years ago
- ☆14Updated 2 years ago
- LeonardoBerti00 / Data-Normalization-for-Bilinear-Structures-in-High-Frequency-Financial-Time-series-BiN-TABLPytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆12Updated 11 months ago
- ☆9Updated 5 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆17Updated 3 months ago