Master Thesis: Simulation of ESTER using TimeGAN
This document contains the source code for the Master Thesis 'Simulation of ESTER using TimeGAN' commissioned by Erasmus University Rotterdam for the completion of the MSc programme Econometrics with a specialization in Quantitative Finance. The link to the paper is here.
In order to replicate the paper: run esterGAN.py
In order to simulate the ESTER for a pre-specified time period: run simulate_ester.py
In order to replicate visualizations in the paper: run visualize.py