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eugene195 / HPVol Public

Hawkes Process Volatility Modelling

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Name		Name	Last commit message	Last commit date
Latest commit History 13 Commits
data		data
final_dataset		final_dataset
.gitignore		.gitignore
Data_plots.ipynb		Data_plots.ipynb
HP_Fit_test.ipynb		HP_Fit_test.ipynb
Hawkes Process Simulation.ipynb		Hawkes Process Simulation.ipynb
README.md		README.md
aapl_data_prepro.py		aapl_data_prepro.py
lib.py		lib.py
local_HP_fit.py		local_HP_fit.py
main.py		main.py
multiprocessing_sim.py		multiprocessing_sim.py
optimize_1expo.py		optimize_1expo.py
optimize_2expo.py		optimize_2expo.py
optimize_params.py		optimize_params.py
sp100_data_prepro.py		sp100_data_prepro.py
sp500_data_prepro.py		sp500_data_prepro.py
visualization.py		visualization.py