An R package for forecasting volatility, using the Markov Switching Multifractal model.
☆33Apr 27, 2017Updated 9 years ago
Alternatives and similar repositories for MSM
Users that are interested in MSM are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 8 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆16Dec 6, 2022Updated 3 years ago
- D-vine quantile regression☆11Updated this week
- Game simulator created for NCAA basketball (Based on team possession statistics)☆15Apr 25, 2022Updated 4 years ago
- An R package for using mixed-frequency GARCH models☆75Jan 13, 2026Updated 7 months ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16Aug 21, 2026Updated last week
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Kernel density estimation based on vine copulas☆16Sep 4, 2025Updated 11 months ago
- We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Pe…☆61Aug 15, 2022Updated 4 years ago
- Bayesian Multivariate GARCH☆18Jul 7, 2026Updated last month
- Monte Carlo Simulation of the 2019 NFL playoffs☆20Jan 17, 2020Updated 6 years ago
- R Code CoVaR with Copula☆76Sep 26, 2024Updated last year
- Stan-code for Markov-switching vector autoregressive models☆22Oct 4, 2020Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- Code for PROFIT: Quantitative Day Trading From Natural Language Using Reinforcement Learning at NAACL 2021☆28Jul 9, 2021Updated 5 years ago
- Technical analysis in R: indicators, candlestick pattern detection, and interactive trading charts.☆15Updated this week
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 4 years ago
- Series of python scripts and MapReduce programs to extract, parse and display Reddit data☆11Oct 10, 2022Updated 3 years ago
- Fractal Adaptive Moving Average☆28Mar 24, 2026Updated 5 months ago
- Using langchain module to generate RAG prompt for open AI☆11Sep 16, 2023Updated 2 years ago
- AWS Comprehend Client☆12Dec 9, 2025Updated 8 months ago
- Forecasting the S&P 500 ten years into the future using a variety of time series models☆20May 8, 2020Updated 6 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- A repository for portfolio allocation based on embedding data representation☆13Jan 27, 2025Updated last year
- Reference and learning notebooks on the use of Spark for ML and analytical applications☆12Mar 1, 2019Updated 7 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- Predicting the price movement of stocks using past prices and sentiment analysis scores from financial News.☆21Jan 16, 2023Updated 3 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆39Aug 20, 2026Updated last week
- [deprecated/unsupported] Python wrapper for programmatically interacting with the MarketWatch stock trading game.☆13Apr 19, 2017Updated 9 years ago
- web visualizer for CFTC Commitment of Traders (COT) data☆15Feb 6, 2024Updated 2 years ago
- R package AssetAllocation☆33Nov 30, 2023Updated 2 years ago
- ☆15Feb 22, 2016Updated 10 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, …☆28Oct 20, 2021Updated 4 years ago
- Forest products trade flows database☆13Apr 9, 2020Updated 6 years ago
- manipulating cointegrated pairs to achieve a market-neutral strategy that outperforms indices☆11Jan 12, 2021Updated 5 years ago
- ☆16Jan 11, 2021Updated 5 years ago
- A news based stock scalper using LLM and quant approach☆15Jan 16, 2025Updated last year
- A model for forecasting stock volatility☆22Apr 14, 2017Updated 9 years ago
- PyTorch code for DeepTime: Deep Time-Index Meta-Learning for Non-Stationary Time-Series Forecasting☆11Jan 9, 2023Updated 3 years ago