mdsunivie / HARNet
TensorFlow implementation of the HARNet model for realized volatility forecasting.
☆27Updated last year
Alternatives and similar repositories for HARNet:
Users that are interested in HARNet are comparing it to the libraries listed below
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆17Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- ☆18Updated 8 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆12Updated 3 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- ☆19Updated 4 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- ☆21Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago