convexfi / intradayModelLinks
Modeling of intraday volatility and volume in financial markets
☆16Updated 2 years ago
Alternatives and similar repositories for intradayModel
Users that are interested in intradayModel are comparing it to the libraries listed below
Sorting:
- ☆68Updated 5 months ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆132Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Multivariate GARCH modelling in Python☆16Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆98Updated last year
- ☆21Updated 11 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆114Updated 10 months ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Replication of https://ssrn.com/abstract=3984925☆50Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 10 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- ☆31Updated 5 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated last month
- Design of Risk Parity Portfolios☆116Updated 3 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 modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- implementation of the two-factor quintic OU model☆10Updated 7 months ago