XuanyiJi / Forecasting-the-volatility-of-stock-price-index
A hybrid model to predict the volatility of stock index with LSTM and GARCH-type input parameters
☆24Updated 4 years ago
Alternatives and similar repositories for Forecasting-the-volatility-of-stock-price-index:
Users that are interested in Forecasting-the-volatility-of-stock-price-index are comparing it to the libraries listed below
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆31Updated 2 years ago
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆17Updated 3 years ago
- Univariate_ARIMA_models, ARCH/GARCH Volatility Forecasting models, VAR model for macro fundamentals forecasts☆11Updated 4 years ago
- Stock Price Prediction with PCA and LSTM☆14Updated 4 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 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…☆21Updated 7 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆27Updated 6 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆65Updated 3 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆13Updated 3 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆37Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- ☆11Updated 2 years ago
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 2 years ago
- Stock markets are an essential component of the economy. Their prediction naturally arouses afascination in the academic and financial w…☆21Updated 3 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆19Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- The random forest, FFNN, CNN and RNN models are developed to predict the movement of future trading price of Netflix (NFLX) stock using t…☆60Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- 基于历史数据预测期货的波动率，用于期货的辅助分析，具备模型的核心代码☆9Updated 6 years ago
- Using past price data and sentiment analysis from news and other documents to predict the S&P500 index using a LSTM RNN. Idea replicated …☆32Updated 10 months ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- Stock Market Price Prediction: Used machine learning algorithms such as Linear Regression, Logistics Regression, Naive Bayes, K Nearest N…☆25Updated 4 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆20Updated 6 years ago