Code release for the paper titled Modeling Financial Uncertainty with Multivariate Temporal Entropy-based Curriculums (link), accepted at the UAI 2021 conference as a full paper.
Create an environment having Python 3.6 and install the following dependencies
pip3 install -r requirements.txt
data_preprocessing_code- Contains all the scripts for preprocessing the data, and steps to run, information about preprocessing, etc.difficulty_score_code- Contains the code and the steps to run for computing the difficulty score defined in FinCLASS framework.model_training- Contains the code for training THA-Net both with and without using the curriculum generated using FinCLASS.
Find the US S&P 500 data here, and the China & Hong Kong data here.
- Preprocess the data using the scripts in
data_preprocessing_code, following the instructions mentioned there - Calculate the different complexities using the scripts in
difficulty_score_code - Train the model using the scripts in
model_training, following the instructions there