Beacon-Platform / trellisLinks
Trellis is a Python framework for research into deep hedging
☆23Updated 4 years ago
Alternatives and similar repositories for trellis
Users that are interested in trellis are comparing it to the libraries listed below
Sorting:
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- ☆10Updated 8 years ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Financial Portfolio Optimization Algorithms☆58Updated last year
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 2 weeks ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Fast Risks with QuantLib in Python☆16Updated last year
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- my talk for credit suisse☆39Updated this week
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆73Updated 5 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 4 months ago
- ☆27Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago