SimonWesterlindVPD / AnomalyDetectionOnRisk
Thesis project about Unsupervised anomaly detection on the streaming time-series data of porfolio risk measures and returns.
☆20Updated 6 years ago
Alternatives and similar repositories for AnomalyDetectionOnRisk:
Users that are interested in AnomalyDetectionOnRisk are comparing it to the libraries listed below
- Deep Learning + Time Series Analysis☆27Updated 6 years ago
- ☆12Updated 5 years ago
- (Work In Progress) Implementation of "Financial Time Series Prediction Using Deep Learning"☆16Updated 7 years ago
- A first look into several time series datasets from quandl (namely top tech companies stock close prices) and an attempt to find patterns…☆16Updated 7 years ago
- Non-parametric method for estimating regime change in bivariate time series setting.☆13Updated 7 years ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆21Updated 7 years ago
- Detection of Accounting Anomalies in the Latent Space using Adversarial Autoencoder Neural Networks - A lab we prepared for the KDD'19 Wo…☆87Updated 5 years ago
- Multi-Factor Stock Profit Prediction Using EMD-ALSTM☆27Updated 5 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- Trained an LSTM model in python to predict prices after denoising the price signal using wavelet transformation method.☆8Updated 5 years ago
- Stock Price prediction using news data. The datasets used consists news and stock price data from 2008 to 2016. The polarity(Subjectivity…☆48Updated 7 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 7 years ago
- probabilistic forecasting with Temporal Fusion Transformer☆40Updated 3 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Ensemble of ARIMA, prophet and LSTMS RNN☆35Updated 7 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated last year
- Ensemble Machine Learning for Time Series: Ensemble of Deep Recurrent Neural Networks and Random forest using a Stacking (averaging) laye…☆35Updated 7 years ago
- Anamoly Detection in Time Series data of S&P 500 Stock Price index (of top 500 US companies) using Keras and Tensorflow☆25Updated 4 years ago
- In this project, this research generally investigates the financial time series such as the price & return of NASDAQ Composite Index usin…☆12Updated 6 years ago
- ☆23Updated 3 years ago
- Project for PV056 Machine learning course on clustering of time series☆22Updated 7 years ago
- Financial time series forecast using dual attention RNN☆27Updated 6 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆14Updated 4 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- ☆49Updated 3 years ago
- Code examples for pyFTS☆51Updated 5 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆92Updated 2 years ago
- Implementation of Log Gaussian Cox Process in Python for Changepoint Detection using GPFlow☆31Updated 2 years ago
- Multi-step Time Series Forecasting with ARIMA, LightGBM, and Prophet☆24Updated 4 months ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago