tlemenestrel / LSTM_GARCH
A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting
☆30Updated 2 years ago
Alternatives and similar repositories for LSTM_GARCH:
Users that are interested in LSTM_GARCH are comparing it to the libraries listed below
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- A hybrid model to predict the volatility of stock index with LSTM and GARCH-type input parameters☆24Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆78Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- ARIMA & GARCH models for stock price prediction☆17Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆116Updated 4 years ago
- Machine learning methods for identifing investment factors☆18Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆103Updated 11 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆84Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆25Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- DCC GARCH modeling in Python☆90Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆51Updated 6 months ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆30Updated 5 years ago
- 多因子模型相关☆21Updated 3 years ago
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆31Updated 2 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- Backtest Framework designed by YuminQuant&Yumin.☆16Updated 6 months ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆77Updated 7 months ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated 11 months ago
- Reproduce AAAI22-FactorVAE☆56Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆32Updated 4 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆65Updated 3 years ago