Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.

Estimation of realized quantities

R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.

Intraday volatility estimation using High-Frequency Financial Data

Official code - M2VN(Multi-Modal Learning Network for Volatility Forecasting)

Compare realized volatility estimators for intraday data

Utilities for fetching, reading, validating, caching, consolidating, and splicing intraday OHLCV price files from multiple vendors.

Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

R package to estimate and forecast the HAR (Heterogeneous Autoregressive) model and its extensions.

Calculation of stock realized variance based on trade data on WRDS cloud

Transformer for FX realized-volatility forecasting. Each hourly block encodes the joint market state (10 forex pairs + 14 macros + events + HAR features) into a single context vector; 24-horizon output for one target symbol.

Realized volatility analytics dashboard for financial market analysis using Python and Streamlit.

Forecasting realized volatility for 5 US sector ETFs using statistical models (ARIMA, GARCH, EGARCH), machine learning (Ridge, XGBoost, SVR), and deep learning (LSTM) on 20 years of daily data.

Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.

Quantitative research project on volatility timing for short-volatility carry strategies using a Heston UKF, implied-realized spreads, and options backtesting.

HAR-RS-DOW variance forecasting for BTC-EUR with Value-at-Risk, Expected Shortfall (Basel III), option pricing, and live trading deployment on Bitvavo.