csatzky / forecasting-realized-volatility-using-supervised-learningLinks
Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
☆28Updated 4 years ago
Alternatives and similar repositories for forecasting-realized-volatility-using-supervised-learning
Users that are interested in forecasting-realized-volatility-using-supervised-learning are comparing it to the libraries listed below
Sorting:
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- By combining GARCH(1,1) and LSTM model implementing predictions.☆58Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Portfolio optimization using Genetic algorithm.☆62Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆27Updated 4 years ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 4 years ago
- ☆53Updated 8 years ago
- Developing a long/short equity investment portfolio with Machine Learning predictions using data acquired from web-scraping. Flatiron Mod…☆40Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- quantitative asset allocation strategy☆35Updated 11 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆89Updated 3 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆103Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆81Updated 5 years ago