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.☆57Updated 3 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆33Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 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…☆49Updated last year
- ☆71Updated 7 months ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- ☆19Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- quantitative asset allocation strategy☆35Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 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
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆75Updated 4 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆21Updated 5 years ago
- Codes for the paper Stock Trading Volume Prediction with Dual-Process Meta-Learning accepted by ECML PKDD 2022☆35Updated 3 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆39Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Mean-Variance Optimization using DL (pytorch)☆33Updated 3 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated 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…☆15Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Code to support my Master's thesis☆22Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 4 years ago