vix-term-structure

Exploring the VIX term structure with artificial neural networks for my Bachelor's thesis.

Long story short

This did not work out very good. Even though the network learned something it was always too basic to even beat the most naive prediction even a human could do. Personal conclusion: Artificial neural networks are certainly great but that does not mean they are suitable for every machine learning task.

Written thesis

Predicting Spread Prices on VIX Futures with Deep Learning

Name		Name	Last commit message	Last commit date
Latest commit History 153 Commits
data		data
logs/old_experiments		logs/old_experiments
tests/test_vixstructure		tests/test_vixstructure
thesis		thesis
vixstructure		vixstructure
.gitignore		.gitignore
LICENSE		LICENSE
README.md		README.md
classification.ipynb		classification.ipynb
comparison1-4.ipynb		comparison1-4.ipynb
experiment01.ipynb		experiment01.ipynb
experiment02.ipynb		experiment02.ipynb
experiment03.ipynb		experiment03.ipynb
experiment04.ipynb		experiment04.ipynb
experiment05.ipynb		experiment05.ipynb
experiment07.ipynb		experiment07.ipynb
experiment08.ipynb		experiment08.ipynb
experiment09.ipynb		experiment09.ipynb
experiment10.ipynb		experiment10.ipynb
futureswise.ipynb		futureswise.ipynb
futureswise_training.ipynb		futureswise_training.ipynb
garch.ipynb		garch.ipynb
img2mp4.sh		img2mp4.sh
old_models.ipynb		old_models.ipynb
old_train.py		old_train.py
old_train_spread_price_predictions.py		old_train_spread_price_predictions.py
overview-minutely.ipynb		overview-minutely.ipynb
overview.ipynb		overview.ipynb
setup.py		setup.py
tensorflow.ipynb		tensorflow.ipynb
train.py		train.py
train2.py		train2.py
trainc.py		trainc.py

License

leyhline/vix-term-structure

Folders and files

Latest commit

History

Repository files navigation

vix-term-structure

Long story short

Written thesis

About

Resources

License

Stars

Watchers

Forks

Languages