Metadata-Version: 2.1
Name: DeepSurrogatepin
Version: 0.11
Summary: Deep surrogate model for the probability of informed trading model
Home-page: https://github.com/GuillaumePv/pin_surrogate_model
Author: Guillaume Pavé
Author-email: guillaumepave@gmail.com
License: MIT
Keywords: Machine learning, market microstructure
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Developers
Classifier: Topic :: Software Development :: Build Tools
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3.4
Classifier: Programming Language :: Python :: 3.5
Classifier: Programming Language :: Python :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Description-Content-Type: text/markdown
License-File: LICENSE.txt
Requires-Dist: numpy
Requires-Dist: pandas
Requires-Dist: tensorflow
Requires-Dist: tqdm
Requires-Dist: tensorflow-probability

# Master thesis: Deep Structural estimation: with an application to market microstructure modelling

This package proposes an easy application of the master thesis: "Deep Structural estimation: with an application to market microstructure modelling"

![alt text](https://github.com/GuillaumePv/pin_surrogate_model/blob/main/results/graphs/3d_comparison_model_surrogate.png)
The figure above shows the log-likelihood value of the PIN model (left) and the Deep-Surrogate (right)

## Authors

- Guillaume Pavé (guillaumepave@gmail.com)

## Supervisors

- Simon Scheidegger (Department of Economics, HEC Lausanne, simon.scheidegger@unil.ch)
- Antoine Didisheim (Swiss Finance Institute, antoine.didisheim@unil.ch)
