Wenbo-G / NN-volatility-forecasting-reviewLinks
☆17Updated 3 years ago
Alternatives and similar repositories for NN-volatility-forecasting-review
Users that are interested in NN-volatility-forecasting-review are comparing it to the libraries listed below
Sorting:
- ☆16Updated 5 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆45Updated 5 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
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- ☆11Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆19Updated 7 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- ☆15Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆26Updated last year
- ☆22Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆52Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 6 months ago