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vix_project's Introduction

VIX futures forecast project source code

Ethan Yang Sun

Introduction

  1. This repository contains the codes for the project 'VIX Futures Prediction'.
  2. Brief project introduction details and the simulation results can be found at VIX Futures Forcase Project Summary
  3. This code was previously private. After removing the pre-trained parameters, training details, and real-time results, it has been made public for learning reference.

Main requirements

  1. Python 3.5+
  2. PyTorch 1.9.0
  3. Other essential dependencies like numpy, sklearn, pandas, and math, etc.

Usage

  1. By typing the command sh ./daily_script.sh in Linux Shell, the daily prediction auto-generation tool will automatically start, run, terminate, and present the results.
  2. In case of data not being maintained, discontinuity, or when the program has not been run for a long time, you can manually update the following two arguments directly after the command sh daily_script.sh to allow the model to calibrate itself automatically:
    • -- prior_day, e.g., 20210603.
    • -- feature_generate_mode, e.g., all or daily.

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