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.☆56Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆21Updated 5 years ago
- ☆70Updated 6 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆50Updated 11 months ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆20Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 3 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Quant finance scripts☆16Updated 8 months ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- ☆19Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Mean-Variance Optimization using DL (pytorch)☆32Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆32Updated 2 years ago