Modelling Asset Returns under Price Limits with Mixture of Truncated Normal GARCH and Deep Learning Architectures

git clone https://github.com/vw511/asset_return_modelling.git
cd asset_return_modelling
Rscript 'demo.R'

Alternatively, download the .RMD files and run each chunk locally.

This directory includes the following:

• data_8raw.h5 contains information of eight Chinese stocks
• XXXXXX_raw.csv contains 15-minute prices from 9:00 (open), 9:15, ..., 11:30, 13:15, ..., 14:45, 15:00 (close).
  • Prices in these files are extracted from data_8raw.h5 using code in extract_raw_prices.ipynb
• SXXXXXXX.csv contains the trading dates, close prices, calculated daily log returns and constructed daily volatility of a particular stock.
  • Information in these files are extracted and calculated using code in calculate_data_from_raw_prices.R

This directory includes user defined R functions that feature this project.

(For the final paper related to this project, please contact the owner of this GitHub repository)