convexfi / intradayModel
Modeling of intraday volatility and volume in financial markets
☆11Updated last year
Related projects ⓘ
Alternatives and complementary repositories for intradayModel
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated last year
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆31Updated 5 years ago
- Portfolio Construction using Stratified Models☆12Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated this week
- R package for high frequency time series data management☆61Updated 2 weeks ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 5 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆21Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 6 months ago
- ☆19Updated 2 years ago
- ☆58Updated this week
- Large Deviations for volatility options☆11Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year
- Mean and Covariance Matrix Estimation under Heavy Tails☆20Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆32Updated 3 weeks ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆31Updated 3 weeks ago
- ☆19Updated 2 years ago
- ☆41Updated 2 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- my talk for credit suisse☆36Updated this week
- Some implementations from the paper robust risk aware reinforcement learning☆34Updated 2 years 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
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆12Updated 2 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆24Updated 3 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago