issaz / signature-regime-detection
Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensional and non-Markovian data"
☆29Updated last year
Alternatives and similar repositories for signature-regime-detection:
Users that are interested in signature-regime-detection are comparing it to the libraries listed below
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- detecting regime of financial market☆35Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- ☆21Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆36Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆62Updated 2 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- ☆49Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆40Updated last week
- A financial trading method using machine learning.☆60Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆60Updated last week
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 2 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- ☆63Updated last month
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- ☆32Updated 9 months ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- Baruch MFE 2019 Spring☆38Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 5 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 10 months ago
- Notebooks based on financial machine learning.☆49Updated 4 years ago
- Pairs Trading in Python☆22Updated 3 years ago