egrillot / Exact-Hidden-Markov-ModelsLinks
The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make predictions on a time series that does not follow usual dynamics.
☆12Updated 2 years ago
Alternatives and similar repositories for Exact-Hidden-Markov-Models
Users that are interested in Exact-Hidden-Markov-Models are comparing it to the libraries listed below
Sorting:
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆13Updated 2 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- openseries is a project with tools to analyze financial timeseries of a single asset or a group of assets. It is solely made for daily or…☆28Updated this week
- ☆26Updated last year
- ☆27Updated 6 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- ☆35Updated 7 years ago
- Labels calculation&visualisation - comes with a small BTC/USDT database. Part of my research. Integral part of: https://arxiv.org/abs/201…☆26Updated 3 years ago
- Volatility models for stock prices using deep learning and mixture models.☆16Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 11 months ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆33Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- The goal of the project is to build algorithmic trading system.☆27Updated 4 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- ☆12Updated 2 years ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- Time Series Prediction of Volume in LOB☆57Updated last year
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆49Updated 2 years ago
- Hedge long only portfolio using structural entropy☆15Updated 3 years ago
- Hawkes with Latency