convexfi / intradayModelLinks
Modeling of intraday volatility and volume in financial markets
☆15Updated 2 years ago
Alternatives and similar repositories for intradayModel
Users that are interested in intradayModel are comparing it to the libraries listed below
Sorting:
- ☆67Updated 3 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆127Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆96Updated 8 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆80Updated 8 months ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 11 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆89Updated 6 months ago
- ☆21Updated 9 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆94Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 7 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 10 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- implementation of the two-factor quintic OU model☆10Updated 5 months ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆189Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 10 months ago
- ☆42Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆82Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago