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Daniele Maria Di Nosse's Projects

ccm_wilsoncowan icon ccm_wilsoncowan

Application of CCM algorithm to two Wilson-Cowan coupled oscillators

gan_anomaly_detection icon gan_anomaly_detection

Implementation of a Generative Adversarial Network for anomaly detection task in (financial) time series data.

hestonmodel icon 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

nested_sampling icon nested_sampling

Nested Sampling implementation for the computation of a N-dim gaussian integral

portfolioml icon portfolioml

PortfolioML is a package that uses different ML algorithms for forecasting the S&P500 returns and create portfolios that can outperform the market

quantfin_sns icon 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 icon 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

spoofing_model icon 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

statarb_ms icon statarb_ms

Repository for my Master thesis project (working on it!)

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