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gestion-quantitative-2

Replication of the research paper : Catching the curl: Wavelet thresholding improves forward curve modelling

https://github.com/naimlehbiben/gestion-quantitative-2

Science Score: 44.0%

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    Low similarity (6.2%) to scientific vocabulary

Keywords

commodities forward-curve futures-prices kalman-filter state-space wavelets
Last synced: 6 months ago · JSON representation ·

Repository

Replication of the research paper : Catching the curl: Wavelet thresholding improves forward curve modelling

Basic Info
Statistics
  • Stars: 0
  • Watchers: 1
  • Forks: 1
  • Open Issues: 0
  • Releases: 1
Topics
commodities forward-curve futures-prices kalman-filter state-space wavelets
Created almost 2 years ago · Last pushed almost 2 years ago
Metadata Files
Readme License Citation

README.md

Quantitative Portfolio Management

Objectives

This project is part of the Quantitative Portfolio Management course in the Master's program in Economics & Financial Engineering at Paris Dauphine University - PSL . The aim is to replicate and analyze the methods and findings of the research article "Catching the curl: Wavelet thresholding improves forward curve modelling" by Gabriel J. Power, James Eaves, Calum Turvey, Dmitry Vedenov. This study introduces an innovative method of enhancing forward curve modelling using wavelet thresholding. The approach is particularly relevant for financial markets and offers new perspectives in quantitative management.

Setting up the project

Run the file install_for_windows.bat, it will install dependencies and create a virtual environment for the project.

All the code is in the src folder. The research paper is in the static folder.

License

MIT

Authors

Authors : Naïm LEHBIBEN - Joudy BENKADDOUR - Cyprien TARDIVEL - Xiyu XUE

Owner

  • Name: Naïm Lehbiben
  • Login: NaimLehbiben
  • Kind: user
  • Location: Paris
  • Company: Paris Dauphine University

Passionate about quantitative finance and trading I'm an ambitious and motivated young professional with a strong background in finance and mathematics.

Citation (CITATION.CFF) 

cff-version: 1.2.0
message: If you use this software, please cite it using the following DOI.
title: Replicating research paper "Catching the curl: Wavelet thresholding improves forward curve modelling"
authors:
  - name: LEHBIBEN NAIM
    email: naim.lehbiben@dauphine.eu
  - name: JOUDY BENKADDOUR
    email: joudy.benkaddour@dauphine.eu*
  - name: CYPRIEN TARDIVEL
    email: cyprien.tardivel@dauphine.eu
  - name: XIYU XUE
    email: xiyu.xue@dauphine.eu
license: MIT

GitHub Events

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Dependencies

requirements.txt pypi