- Title: An Empirical Evaluation of Neural Process Meta-Learners for Financial Forecasting
- Author: Kevin Patel
- dump basic preprocessed data:
data/Preproc/run.sh - ANP volatiltiy model nowcast hyperparam tuning over train/val:
run-exp-000.bash - ANP volatiltiy model forecast hyperparam tuning over train/val:
run-exp-001.bash - ANP volatiltiy model forecast (fixed hyperparams) over train/val/test:
run-exp-002.bash - simulated trading model over train/val:
model/TradingModel/run.sh - simulated trading model over train/val/test:
model/TradingModel/run-final.sh - basic smoketests:
smoke-*.sh
- This branch,
master/data-frd-minutely, has all the code submitted for the thesis - The branch
data-tr-hourlyis for a previous iteration of the project - Unfortunately raw data used to generate the results was purchased from FirstRate Data LLC, so it cannot be shared
- has all the raw and preprocessed data
- preprocessing is done from Julia scripts/Pluto.jl notebooks in the Preproc package
- preprocessed data can be loaded in Python via a PytorchLightning DataModule
- has all the model code (Pytorch models wrapped in PytorchLightning)
{model, np}_util.pycontain Pytorch model classespl_{generic, np}.pyare LightningModule classes that wrap Pytorch models for PytorchLightningexpo.pyis the optuna hyperparameter optimizing runnerexpm.pyis the manual/fixed hyperparameter experiment runner- the
model/exp-<proc>-<data>directories contain completed realized volatility trial results - hyperparameter sets are stored on disk in json files
model/TradingModelcontains the julia package with the trading model code- Trading model uses features/predictions dumped from the last realized volatiltiy models
model/tm-<proc>-<data>directories contain completed trading model results
common_util.pycontains functions, data structures, and classes used throughout the project- Much of the code in here is not used anymore (previous iterations of project)
- Most code is arranged in python subpackages,
<subpackage>/common.pycontains common constants, defaults, and utilities - Subpackage scripts are run by running them as modules (using the
-mflag), see the shell scripts at the project root for examples