ericwbzhang / Vol_predictionLinks
Realized Volatility Forecasting modeling
☆16Updated 8 years ago
Alternatives and similar repositories for Vol_prediction
Users that are interested in Vol_prediction are comparing it to the libraries listed below
Sorting:
- ☆48Updated 9 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆15Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 7 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆49Updated 6 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Python Code for Quantitative Finance Papers☆39Updated 8 months ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆154Updated last year
- My replication of financial papers.☆19Updated 6 years ago
- ☆17Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Updated 6 years ago
- This repository hosts my reading notes for academic papers.☆86Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last week
- 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
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆22Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago