xymmmm00 / diffusion_factor_modelLinks
This repository implements a Diffusion Factor Model for financial data.
β28Updated 2 months ago
Alternatives and similar repositories for diffusion_factor_model
Users that are interested in diffusion_factor_model are comparing it to the libraries listed below
Sorting:
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategiesβ86Updated last year
- ππ¨ Deep Momentum Networks for Time Series Strategiesβ125Updated 5 years ago
- β37Updated last year
- Code for the paper Volatility is (mostly) path-dependentβ71Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden staβ¦β39Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensionaβ¦β36Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"β135Updated last year
- β22Updated last year
- This is a course project of the course Β« Machine Learning for Finance Β» at ENSAE ParisTech.β55Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Scienceβ97Updated 2 years ago
- β50Updated 5 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'β59Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.β90Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.β62Updated 2 years ago
- Ornstein-Uhlenbeck process simulators and estimatorsβ32Updated 4 years ago
- β17Updated 4 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. π€πβ115Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.β33Updated 5 years ago
- Market simulatorβ61Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.β123Updated last year
- Reproduce AAAI22-FactorVAEβ68Updated 2 years ago
- β50Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computβ¦β126Updated 2 months ago
- β70Updated 6 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metricsβ52Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).β86Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.β28Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.β59Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIsβ126Updated 11 months ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paperβ33Updated last year