issaz / signature-regime-detectionLinks
Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensional and non-Markovian data"
☆34Updated 2 years ago
Alternatives and similar repositories for signature-regime-detection
Users that are interested in signature-regime-detection are comparing it to the libraries listed below
Sorting:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- detecting regime of financial market☆38Updated 2 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Implements different approaches to tactical and strategic asset allocation☆36Updated 6 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- ☆42Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆24Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- ☆50Updated 4 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆20Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- ☆22Updated last year
- ☆68Updated last month
- quantitative asset allocation strategy☆28Updated 5 months ago
- Portfolio optimization using Genetic algorithm.☆59Updated 4 years ago