talaikis / HAR-RVModelForRealizedVolatilityLinks
HAR-RV Model For Realized Volatility
☆32Updated 9 years ago
Alternatives and similar repositories for HAR-RVModelForRealizedVolatility
Users that are interested in HAR-RVModelForRealizedVolatility are comparing it to the libraries listed below
Sorting:
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆94Updated 2 years ago
- Time Series Prediction of Volume in LOB☆59Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- finance☆43Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Updated 2 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆71Updated 6 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- ☆25Updated 7 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- ☆47Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆70Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆133Updated 8 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 6 months 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
- ☆36Updated 8 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- DCC GARCH modeling in Python☆100Updated 5 years ago