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
- ☆19Updated 4 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆12Updated 2 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆34Updated 2 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- Jiahao Li, Yong Zhang, Xingyu Yang, and Liangwei Chen. "Online portfolio management via deep reinforcement learning with high-frequency d…☆22Updated last year
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- A paper replication project for Time-driven feature-aware jointly deep reinforcement learning☆12Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 6 months ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Dynamic lead/lag inference for time series☆16Updated 6 years ago
- ☆12Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- Optimizing the Pairs-Trading Strategy using Deep Reinforcement Learning with Trading and Stop-loss Boundaries☆13Updated 3 years ago
- ☆21Updated 5 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
- Code to support my Master's thesis☆19Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Implement the model of Halperin and Feldshteyn for DJIA and SP500☆11Updated 6 years ago
- Markov decision processes under model uncertainty☆15Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 7 years ago
- Implementation of DBSCAN to find securities with a historical correlation for a pairs trading strategy☆13Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- An implementation of a stock market trading bot, which uses Deep Q Learning☆23Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆41Updated last year
- detecting regime of financial market☆36Updated 2 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated 2 years ago