issaz / sigker-nsdes
Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".
☆18Updated 2 months ago
Related projects ⓘ
Alternatives and complementary repositories for sigker-nsdes
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆26Updated 9 months ago
- Market simulator☆58Updated 4 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆62Updated 2 weeks ago
- Codes for my thesis project: replicating and modifying quant GANs.☆17Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆82Updated 8 months ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago
- Robust pricing and hedging via Neural SDEs☆31Updated 3 years ago
- A scikit-learn compatible Python package for GPU-accelerated computation of the signature kernel using CuPy.☆22Updated 11 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- ☆60Updated last week
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆27Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆62Updated 8 months ago
- esig python package☆41Updated last month
- ☆43Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆22Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆89Updated this week
- ☆23Updated last year
- code for "Optimal Stopping via Randomized Neural Networks"☆49Updated 7 months ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆44Updated last year
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆43Updated 3 years ago
- ☆29Updated 6 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆58Updated last year
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆106Updated 4 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆19Updated last year
- Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]☆20Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Implementation of the vanilla Deep Hedging engine☆234Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago