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abanicco

arch

ARCH models in Python

ast

Adversarial Sparse Transformer for Time Series Forecasting

attentive-neural-processes

implementing "recurrent attentive neural processes" to forecast power usage (w. LSTM baseline, MCDropout)

awesome-time-series-database

:clock7: A curated list of awesome time series databases, benchmarks and papers

badges

:pencil: Markdown code for lots of small badges :ribbon: :pushpin: (shields.io, forthebadge.com etc) :sunglasses:. Contributions are welcome! Please add yours!

c_calls

Voice over IP calls (point-to-point audio conference) between two systems. We use RTP over UDP. Developed using C

deep-learning-time-series

List of papers, code and experiments using deep learning for time series forecasting

deeptcn

esl_solution

fedformer

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

fits

FITS: Frequency Interpolation Time Series Analysis Baseline

flow-forecast

Deep learning PyTorch library for time series forecasting, classification, and anomaly detection (originally for flood forecasting).

fmorenopino.github.io

gluon-ts

Probabilistic time series modeling in Python

heterogeneoushmm

Discrete, Gaussian, and Heterogenous HMM models full implemented in Python. Missing data, Model Selection Criteria (AIC/BIC), and Semi-Supervised training supported. Easily extendable with other types of probablistic models.

hftbacktest

A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.

icml2022-fedformer

Source code of ICML'22 paper: FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting

lobster-tools

[NOTE: Alpha Stage] Python package for working with LOBSTER data (the limit order book data from Nasdaq).

machine-learning-for-trading

Code and resources for Machine Learning for Algorithmic Trading, 2nd edition.

mfe-toolbox

minimal-academic-website

Minimal website template for academics

minimalist_website

Minimalist Hugo template for academic websites, based on the source code to https://pascalmichaillat.org

multitransformer

Transformer and MultiTransformer layers for stock volatility forecasting purposes

neuralrde

Code for: "Neural Rough Differential Equations for Long Time Series", (ICML 2021)

prophet

Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.

pytorch-lightning-wavenet

An implementation of WaveNet using PyTorch & PyTorch Lightning

recurrent-neural-processes

Pytorch implementation of Recurrent Neural Processes https://arxiv.org/pdf/1906.05915.pdf

robustifyingsequentialneuralprocesses

This is an official Tensorflow implementation of the ASNP-RMR.