Pinned Repositories
GAN_Anomaly_Detection
Implementation of a Generative Adversarial Network for anomaly detection task in (financial) time series data (work in progress).
Spoofing_Model
Implementation on LOBSTER data of the model proposed by Xuan Tao, Andrew Day, Lan Link and Samuel Drapeau in https://arxiv.org/pdf/2009.14818v2.pdf
CCM_WilsonCowan
Application of CCM algorithm to two Wilson-Cowan coupled oscillators
HestonModel
Implementation in Python of the Heston Model for pricing options. Not the best or the fastest (or pythonic) of codes, but it works pretty good for the purposes it was thought, i.e. a university exam
StatArb_MS
Repository for my Master thesis project (working on it!)
PortfolioML
PortfolioML is a package that uses different ML algorithms for forecasting the S&P500 returns and create portfolios that can outperform the market
generative_AMM
Deep learning generative models for Automated Market Makers (AMMs)
Nested_Sampling
Nested Sampling implementation for the computation of a N-dim gaussian integral
quantfin_sns
A collective repository of useful functions and procedures aimed at supporting research in the quantitative finance group at Scuola Normale Superiore di Pisa
RBM_forex
Application of Restricted Boltzmann Machines to learn the probability distribution of a set of forex currencies. The code wants to replicates the results of Kondratyev, Alexei and Schwarz, Christian, The Market Generator (May 8, 2019). Available at SSRN: https://ssrn.com/abstract=3384948 or http://dx.doi.org/10.2139/ssrn.3384948
DanieleMDiNosse's Repositories
DanieleMDiNosse/generative_AMM
Deep learning generative models for Automated Market Makers (AMMs)
DanieleMDiNosse/GAN_Anomaly_Detection
Implementation of a Generative Adversarial Network for anomaly detection task in (financial) time series data (work in progress).
DanieleMDiNosse/SIAM_code_challange
Code for the SIAG/FME Code Quest 2023
DanieleMDiNosse/RBM_forex
Application of Restricted Boltzmann Machines to learn the probability distribution of a set of forex currencies. The code wants to replicates the results of Kondratyev, Alexei and Schwarz, Christian, The Market Generator (May 8, 2019). Available at SSRN: https://ssrn.com/abstract=3384948 or http://dx.doi.org/10.2139/ssrn.3384948
DanieleMDiNosse/quantfin_sns
A collective repository of useful functions and procedures aimed at supporting research in the quantitative finance group at Scuola Normale Superiore di Pisa
DanieleMDiNosse/Spoofing_Model
Implementation on LOBSTER data of the model proposed by Xuan Tao, Andrew Day, Lan Link and Samuel Drapeau in https://arxiv.org/pdf/2009.14818v2.pdf
DanieleMDiNosse/VolatilityIsMostlyPathDependent
Code for the paper Volatility is (mostly) path-dependent
DanieleMDiNosse/StatArb_MS
Repository for my Master thesis project (working on it!)
DanieleMDiNosse/Nested_Sampling
Nested Sampling implementation for the computation of a N-dim gaussian integral
DanieleMDiNosse/CCM_WilsonCowan
Application of CCM algorithm to two Wilson-Cowan coupled oscillators
DanieleMDiNosse/PortfolioML
PortfolioML is a package that uses different ML algorithms for forecasting the S&P500 returns and create portfolios that can outperform the market
DanieleMDiNosse/HestonModel
Implementation in Python of the Heston Model for pricing options. Not the best or the fastest (or pythonic) of codes, but it works pretty good for the purposes it was thought, i.e. a university exam