mdsunivie / HARNetLinks
TensorFlow implementation of the HARNet model for realized volatility forecasting.
☆28Updated 2 years ago
Alternatives and similar repositories for HARNet
Users that are interested in HARNet are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆22Updated last year
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆68Updated last month
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- ☆11Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- ☆16Updated 3 years ago
- ☆19Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆38Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 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
- Ornstein-Uhlenbeck process simulators and estimators☆32Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆35Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆69Updated 3 years ago