fmorenopino

HeterogeneousHMM

Discrete, Gaussian, and Heterogenous HMM models full implemented in Python. Missing data, Model Selection Criteria (AIC/BIC), and Semi-Supervised training supported. Easily extendable with other types of probablistic models.

SAAM

Spectral Attention Autoregressive Model (SAAM)

Financial-Models-Numerical-Methods

Collection of notebooks about quantitative finance, with interactive python code.

prophet

Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.

ABANICCO

arch

ARCH models in Python

AST

Adversarial Sparse Transformer for Time Series Forecasting

attentive-neural-processes

implementing "recurrent attentive neural processes" to forecast power usage (w. LSTM baseline, MCDropout)

awesome-time-series-database

:clock7: A curated list of awesome time series databases, benchmarks and papers

badges

:pencil: Markdown code for lots of small badges :ribbon: :pushpin: (shields.io, forthebadge.com etc) :sunglasses:. Contributions are welcome! Please add yours!

deep-learning-time-series

List of papers, code and experiments using deep learning for time series forecasting

FEDformer

FITS

FITS: Frequency Interpolation Time Series Analysis Baseline

flow-forecast

Deep learning PyTorch library for time series forecasting, classification, and anomaly detection (originally for flood forecasting).

fmorenopino.github.io

gluon-ts

Probabilistic time series modeling in Python

hftbacktest

A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.

ICML2022-FEDformer

Source code of ICML'22 paper: FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting

lobster-tools

[NOTE: Alpha Stage] Python package for working with LOBSTER data (the limit order book data from Nasdaq).

machine-learning-for-trading

Code and resources for Machine Learning for Algorithmic Trading, 2nd edition.

mfe-toolbox

minimal-academic-website

Minimal website template for academics

minimalist_website

Minimalist Hugo template for academic websites, based on the source code to https://pascalmichaillat.org

MultiTransformer

Transformer and MultiTransformer layers for stock volatility forecasting purposes

neuralRDE

Code for: "Neural Rough Differential Equations for Long Time Series", (ICML 2021)

RobustifyingSequentialNeuralProcesses

This is an official Tensorflow implementation of the ASNP-RMR.

SeqML

A repository containing the implementations about our machine learning researches on sequence data and sequential decision making.

SequentialNeuralProcesses

This is the official source code for Sequential Neural Processes.

SurvivalMonotonicNet

Code for SuMo-net. A method of regressing right-censored event-times on a covariate.

transformer-time-series-prediction

proof of concept for a transformer-based time series prediction model