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tomespel / kairos-volatility-prediction

Advanced machine learning techniques for volatility prediction on financial markets. The Kairos package was developed for CFM’s ENS DataChallenge 2018.
https://challengedata.ens.fr/en/challenge/34/volatility_prediction_in_financial_markets.html
Apache License 2.0
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Lay out main structure #3

Closed tomespel closed 6 years ago

tomespel commented 6 years ago

Lay out the main file structure.

Main task Primal Component Secondary Component
Asset Classifier High Average Volatility High Local Volatility
Medium Local Volatility
Low Local Volatility
Medium Average Volatility High Local Volatility
Medium Local Volatility
Low Local Volatility
Low Average Volatility High Local Volatility
Medium Local Volatility
Low Local Volatility
Asset Extractor Main Asset Extractor n/a: Main Component
High Local Volatility Raw Data Processing
Medium Local Volatility Raw Data Processing
Local Local Volatility Raw Data Processing
Features Engineering High Local Volatility Features Engineering Provider
Features Engineering Selector
Medium Local Volatility Features Engineering Provider
Features Engineering Selector
Low Local Volatility Features Engineering Provider
Features Engineering Selector
Predictive Engine High Local Volatility Features Engineering Collector
Training Network
Medium Local Volatility Features Engineering Collector
Training Network
Low Local Volatility Features Engineering Collector
Training Network
Output Processor High Local Volatility Predictions Collector
Medium Local Volatility Predictions Collector
Low Local Volatility Predictions Collector
Main Output Delivery n/a: Main Component
tomespel commented 6 years ago

Files and folders created.