/quant-GAN-proj

Primary LanguageJupyter Notebook

Quant GAN

Model implementation of Quant-GAN for Deep Generative Models course at HSE. Full demonstration available via Jupyter notebook: quant.ipynb.

Based on: https://arxiv.org/pdf/1907.06673.pdf

Prerequisites

  • torch==1.9.0+cu102
  • numpy==1.19.5
  • pandas==0.24.2
  • scipy==1.6.1
  • scikit_learn==0.24.2

Train

Run with train.py FILENAME.csv. To tune the hyperparameters, one can specify via argument options, which can been seen via the -h flag. Resulting generator and discriminator models saved to QuantGenerator.pt and QuantDiscriminator.pt

Dataset

Dataset provided sp_data.csv is S&P 500 stock prices from may 2009 till dec 2019.