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Optiver Realized Volatility Prediction

Organizer: Optiver
Platform: Kaggle
Competition Page: https://www.kaggle.com/c/optiver-realized-volatility-prediction/

docs

  • Related docs such as references, articles, documentation, etc to be saved in this directory.

inp

- inp
|_ Raw Data
  |__ book_test.parquet
  |__ book_train.parquet
  |__ trade_test.parquet
  |__ trade_train.parquet
  |__ sample_submission.csv
  |__ train.csv
  |__ test.csv

models

  • Trained weights/pretrained-weights of various models used/referred in the solution.

notebooks

  • EDA, modelling, pipeline notebooks to be added here.

src

  • Code package, consisting of modularised code for data preparation, cross validation, feature engineering, modelling, inference code snippets.

Instructions

For default set, make sure the dataset is downloaded to inp/Raw Data folder, and cross check the src/config.py file for paths reference.
To Train on the data with default KFold split:
python main.py True

To test:
python main.py False

More to be added soon. Stay tuned, and feel free to provide suggestions via PR.