mdsunivie / HARNetLinks
TensorFlow implementation of the HARNet model for realized volatility forecasting.
☆28Updated last year
Alternatives and similar repositories for HARNet
Users that are interested in HARNet are comparing it to the libraries listed below
Sorting:
- Code and documents from Econ 690 at Duke☆9Updated 3 years ago
- 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
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆18Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆21Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- ☆18Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 5 years ago
- ☆17Updated 3 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…☆13Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 7 months ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- ☆67Updated last week
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Quant finance scripts☆16Updated 2 months ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆69Updated 3 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆77Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago