SimonWesterlindVPD / AnomalyDetectionOnRiskLinks
Thesis project about Unsupervised anomaly detection on the streaming time-series data of porfolio risk measures and returns.
☆23Updated 7 years ago
Alternatives and similar repositories for AnomalyDetectionOnRisk
Users that are interested in AnomalyDetectionOnRisk are comparing it to the libraries listed below
Sorting:
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Updated 2 years ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆22Updated 8 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 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 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆99Updated 4 years ago
- Network Analysis for Financial Markets☆77Updated 8 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆59Updated 7 years ago
- kennedyCzar / STOCK-RETURN-PREDICTION-USING-KNN-SVM-GUASSIAN-PROCESS-ADABOOST-TREE-REGRESSION-AND-QDAForecast stock prices using machine learning approach. A time series analysis. Employ the Use of Predictive Modeling in Machine Learning …☆136Updated 3 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- Multivariate Multi Step Time Series modelling : Predicting the re-rise of bitcoin prices using RNN and optimising the model using GRU and…☆18Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Updated 5 years ago
- ☆76Updated 5 years ago
- Calculate predictive causality between time series using information-theoretic techniques☆109Updated 4 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago
- Time-series Generative Adversarial Networks (fork from the ML-AIM research group on bitbucket))☆122Updated 4 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 8 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆75Updated 4 years ago
- MTSS-GAN: Multivariate Time Series Simulation with Generative Adversarial Networks (by @firmai)☆93Updated 5 years ago
- Wasserstein GAN with gradient penalty (WGAN-GP) applied to financial time series.☆17Updated 7 years ago
- ☆42Updated 4 years ago
- Hidden Markov Model (HMM) based stock forecasting☆103Updated 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…☆88Updated 6 years ago
- CNNpred: CNN-based stock market prediction using a diverse set of variables☆73Updated 5 years ago
- Attempt to replicate: A deep learning framework for financial time series using stacked autoencoders and long- short term memory☆93Updated 3 years ago
- ☆15Updated 6 years ago