Name: Fernando Moreno-Pino
Type: User
Company: University of Oxford
Bio: Postdoc in Machine Learning for Quant Finance at the University of Oxford, Oxford-Man Institute of Quantitative Finance.
Twitter: fermorenp
Location: Oxford, UK
Blog: https://fmorenopino.github.io/
Fernando Moreno-Pino's Projects
ARCH models in Python
Adversarial Sparse Transformer for Time Series Forecasting
implementing "recurrent attentive neural processes" to forecast power usage (w. LSTM baseline, MCDropout)
:clock7: A curated list of awesome time series databases, benchmarks and papers
:pencil: Markdown code for lots of small badges :ribbon: :pushpin: (shields.io, forthebadge.com etc) :sunglasses:. Contributions are welcome! Please add yours!
Voice over IP calls (point-to-point audio conference) between two systems. We use RTP over UDP. Developed using C
List of papers, code and experiments using deep learning for time series forecasting
Collection of notebooks about quantitative finance, with interactive python code.
FITS: Frequency Interpolation Time Series Analysis Baseline
Deep learning PyTorch library for time series forecasting, classification, and anomaly detection (originally for flood forecasting).
This repository implements time series diffusion in the frequency domain.
Probabilistic time series modeling in Python
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.
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.
Source code of ICML'22 paper: FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting
[NOTE: Alpha Stage] Python package for working with LOBSTER data (the limit order book data from Nasdaq).
Code and resources for Machine Learning for Algorithmic Trading, 2nd edition.
Minimal website template for academics
Minimalist Hugo template for academic websites, based on the source code to https://pascalmichaillat.org
Transformer and MultiTransformer layers for stock volatility forecasting purposes
Code for: "Neural Rough Differential Equations for Long Time Series", (ICML 2021)
Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
An implementation of WaveNet using PyTorch & PyTorch Lightning
Pytorch implementation of Recurrent Neural Processes https://arxiv.org/pdf/1906.05915.pdf