bottama / stochastic-asset-pricing-in-continuous-timeLinks
Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
☆41Updated 4 years ago
Alternatives and similar repositories for stochastic-asset-pricing-in-continuous-time
Users that are interested in stochastic-asset-pricing-in-continuous-time are comparing it to the libraries listed below
Sorting:
- ☆22Updated last month
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆21Updated last year
- ☆14Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆36Updated last year
- A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will inc…☆26Updated 2 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Updated 3 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 10 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Markov decision processes under model uncertainty☆16Updated 3 years ago
- Code to support my Master's thesis☆21Updated 2 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Python package for generating Directional Changes - a technical analysis indicator - from time series.☆20Updated 7 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Quant finance scripts☆16Updated 5 months ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆26Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆48Updated 4 years ago
- ☆19Updated 5 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Updated 5 years ago