convexfi / intradayModel
Modeling of intraday volatility and volume in financial markets
☆15Updated last year
Alternatives and similar repositories for intradayModel:
Users that are interested in intradayModel are comparing it to the libraries listed below
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆23Updated 2 years ago
- ☆63Updated last month
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 4 months ago
- ☆25Updated last month
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 5 months ago
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆60Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆64Updated 3 weeks ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- ☆32Updated 10 months ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆64Updated 2 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆17Updated 3 years ago
- ☆26Updated 7 months ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- ☆34Updated last year
- ☆22Updated 3 years ago
- ☆19Updated 6 years ago
- Financial Portfolio Optimization Algorithms☆54Updated 8 months ago
- Python 3 source code for the implementation of the directional change analysis of financial time series data☆29Updated 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…☆34Updated 2 months ago
- Hawkes with Latency☆20Updated 4 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year