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☆93Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 9 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆58Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 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
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆19Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Implementation of 5-factor Fama French Model☆136Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- ☆85Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- ☆47Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 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
- DCC GARCH modeling in Python☆101Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆69Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago