johncollinsai / markov-switching-multifractal
Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
☆32Updated 3 years ago
Related projects: ⓘ
- DCC-GARCH(1,1) for multivariate normal distribution.☆55Updated last year
- Dynamic lead/lag inference for time series☆14Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆33Updated 3 years ago
- Multivariate GARCH modelling in Python☆12Updated 2 months ago
- ☆21Updated 4 months ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- ARMA-GARCH☆90Updated 11 months ago
- DCC GARCH modeling in Python☆84Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆24Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆20Updated 10 months ago
- ☆18Updated last year
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆72Updated 6 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 7 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆54Updated 5 years ago
- ☆28Updated last year
- BSc Thesis on the Garch-Midas model☆19Updated 2 years ago
- Portfolio optimization using Genetic algorithm.☆52Updated 3 years ago
- I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…☆42Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆36Updated 4 years ago
- ARIMA & GARCH models for stock price prediction☆16Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆19Updated 2 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆13Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆46Updated last year
- Multivariate DCC-GARCH model☆14Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆28Updated 3 weeks ago
- HAR-RV Model For Realized Volatility☆27Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- detecting regime of financial market☆27Updated last year