A project trying to replicate SSRN3776915.

Directory Structure

.
├── README.md
├── raw # raw intraday price date. Can be downloaded from 链接: https://pan.baidu.com/s/1M1Fksa8Skj5dVI6MpholMA 提取码: 2ybm。
├── src # source code
└── stash # intermediate results stash

Usage

It's recommended to use Anaconda to resolve dependencies.

# install pytorch
conda install pytorch torchvision torchaudio -c pytorch

conda activate
cd src
python3 feature.py
python3 estimate.py
python3 nn.py