Yizhan-Oliver-Shu / jump-modelsLinks
Statistical Jump Models in Python, with scikit-learn-style APIs
☆83Updated 7 months ago
Alternatives and similar repositories for jump-models
Users that are interested in jump-models are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 5 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆170Updated last week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆183Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- ☆42Updated 2 years ago
- ☆74Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 5 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆86Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆44Updated last year
- Notebooks based on financial machine learning.☆52Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆81Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Macrosynergy Quant Research☆149Updated this week
- Research Repo (Archive)☆75Updated 4 years ago
- ☆81Updated 9 months ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆125Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- CS7641 Team project☆96Updated 5 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- Python library for asset pricing☆117Updated last year
- Estimation of the lead-lag parameter from non-synchronous data.☆128Updated 4 months ago