AnomalyDetectionOnRisk:关于投资组合风险度量和收益的流时间序列数据的无监督异常检测的论文项目

上传者: 42148975 | 上传时间: 2022-05-13 22:49:43 | 文件大小: 1.34MB | 文件类型: ZIP
异常检测风险 在对金融风险度量和收益执行异常检测的5个模型之间的比较。 这些实验是学位项目“投资组合风险管理异常检测”的一部分,可以在Simon_Westerlind_Masters_Thesis.pdf或上找到。 先决条件 安装 。 安装conda要求 conda install --yes --file requirements.txt 安装软件包。 否则,ARMA-GARCH将不起作用。 安装 。 复制存在于./htm中的returns_and_risk文件夹并将其放置在/ nupic / examples / opf / clients /中 跑步 要运行EWMA,ARMA-GARCH,LSTM和HardLimits,请运行 python garch_long.py 在./garch文件夹中。 之后运行 python run.py --plot 可以在/ nupic /

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