amwatt / thermal_optimal_path
Dynamic lead/lag inference for time series
☆15Updated 5 years ago
Alternatives and similar repositories for thermal_optimal_path:
Users that are interested in thermal_optimal_path are comparing it to the libraries listed below
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- ☆17Updated 4 years ago
- HAR-RV Model For Realized Volatility☆27Updated 8 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆10Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆32Updated last week
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- ☆12Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- ☆17Updated 8 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- ☆39Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆78Updated last year
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- ☆21Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 2 months ago
- Regime-Switching Model☆17Updated 7 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 months ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- detecting regime of financial market☆34Updated 2 years ago
- ☆33Updated last year
- Gerber robust statistics for portfolio optimization☆55Updated 2 years ago
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- ☆63Updated this week
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year