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# Volt
Public Implementation of
*Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes* [link]
by [Gregory Benton](https://g-benton.github.io/), [Wesley Maddox](https://wjmaddox.github.io), and [Andrew Gordon Wilson](https://cims.nyu.edu/~andrewgw/).
Please cite our work if you find it useful:
```
@inproceedings{benton2022volatility,
title={olatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes},
author={Benton, Gregory and Maddox, Wesley and Wilson, Andrew Gordon Gordon},
booktitle={International Conference on Machine Learning},
year={2022},
organization={PMLR}
}
```
![Overview of the Volt modeling pipeline](./figs/ret-vol-px.jpg)
## Explanatory Notebook
To see an overview of how to use Volt with synthetically generated code, see the `Example` notebook which walks through how the code is organized step by step.
## Experiments
The two core experimental settings from the paper involve modeling historical wind speeds and stock prices. The code to run these experiments with example commands is in the `experiments` folder.
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from setuptools import setup
import os
import sys
setup(
name='voltron',
version='alpha',
description=('Voltron Repo'),
author='Greg Benton',
author_email='greg.w.benton@gmail.com',
url='https://github.com/g-benton/voltron',
license='Apache-2.0',
packages=['voltron'],
install_requires=[
'matplotlib>=3.0.3',
'setuptools>=41.0.0',
'torch>=1.11.0',
'numpy>=1.16.2',
'gpytorch>=1.0.1',
],
include_package_data=True,
classifiers=[
'Development Status :: 0',
'Intended Audience :: Science/Research',
'Programming Language :: Python :: 3.7'],
)
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