TensorFlow implementation of the HARNet model for realized volatility forecasting.
☆29Jul 16, 2023Updated 3 years ago
Alternatives and similar repositories for HARNet
Users that are interested in HARNet are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 6 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆20Jul 19, 2021Updated 5 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 8 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆28Jun 22, 2020Updated 6 years ago
- "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger C…☆23Jul 23, 2026Updated 2 months ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Nov 12, 2018Updated 7 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆26Nov 14, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 6 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆11Sep 18, 2020Updated 6 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Jul 10, 2021Updated 5 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 4 years ago
- DCC GARCH modeling in Python☆110Jan 15, 2020Updated 6 years ago
- 粤港澳大湾区金融数学建模一等奖(量化模型的建立)☆20Feb 14, 2021Updated 5 years ago
- Library for stochastic process simulation☆14May 22, 2023Updated 3 years ago
- ☆11Mar 16, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- ☆12Dec 22, 2023Updated 2 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆28Aug 13, 2023Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Sep 23, 2024Updated 2 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆15Feb 2, 2023Updated 3 years ago
- Quant finance scripts☆15Apr 13, 2025Updated last year
- Volatility trading☆21Sep 26, 2026Updated 2 weeks ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆18Feb 1, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- Option Volatility and Pricing Models.☆15Feb 24, 2025Updated last year
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆40Jun 26, 2026Updated 3 months ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 6 years ago