lorenzolucchese

Lorenzo Lucchese's repositories

The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.

BSD-3-Clause30 1 1

Signature-based multi-modal (image, video and audio) classifier.

Language:PythonBSD-3-Clause2 20

Multivariate Continuous-time AutoRegressive (MCAR) processes: Estimation and Inference.

Language:Jupyter Notebook010

Tail Risk Management: an Extreme Value Theory Framework with High Frequency Data.

Language:PythonBSD-3-Clause010