In this repository you can find the implementation of the models proposed in Temporal Attention Augmented Bilinear Network for Financial Time Series Data Analysis by Dat Thanh Tran, Alexandros Iosifidis, Juho Kanniainen, and Moncef Gabbouj.
In particular I've implented B(TABL) and C(TABL) using pytorch.
In the notebook is presented a comprehensive machine learning pipeline that encompasses loading the dataset, applying labeling methods, creating datasets and dataloaders, and ultimately, executing the training, validation, and testing processes.
I reached the same results of the original paper.
To run the code you just have to download the FI-2010 dataset and change the data path, then the notebook will do the rest, including the training and testing.