Applying Gaussian Processes to Commodity Prices

This repo is meant to be a reference for the MSc Dissertation in Machine Learning at UCL. There are 6 frameworks applied to the returns of aluminium and copper, namely:

1. ARIMA
2. Gaussian Process - GP
3. Multitask Gaussian Process - MGP
4. Combined Standard Multitask Gaussian Process - CSMGP (new)
5. Warped Gaussian Process - WGP
6. Warped Combined Standard Multitask Gaussian Process - WCSMGP (new)

The data used for the experiments was provvided by ChAI and thus not publicly available.