772435284 / QF-portfolio-investment-system
QF-based Hybrid DRL Portfolio Investment System
☆12Updated last year
Alternatives and similar repositories for QF-portfolio-investment-system:
Users that are interested in QF-portfolio-investment-system are comparing it to the libraries listed below
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- ☆17Updated 4 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆32Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆58Updated 11 months ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆20Updated 5 months ago
- Jiahao Li, Yong Zhang, Xingyu Yang, and Liangwei Chen. "Online portfolio management via deep reinforcement learning with high-frequency d…☆22Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆13Updated 3 years ago
- Market making strategies and scientific papers☆13Updated last year
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆26Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆30Updated 2 years ago
- ☆21Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Stock Price Prediction with LSTM and Trading Strategy with Reinforcement Learning☆12Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆54Updated last year
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- ☆15Updated last year
- An implementation of a stock market trading bot, which uses Deep Q Learning☆23Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆32Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆39Updated last year
- Repo for HFT project in CMF☆28Updated 2 years ago