KangOxford / jax-lob
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
☆24Updated last year
Alternatives and similar repositories for jax-lob:
Users that are interested in jax-lob are comparing it to the libraries listed below
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆113Updated this week
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆20Updated last year
- A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make m…☆30Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆31Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- ☆14Updated 2 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 3 years ago
- ☆18Updated 3 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 5 months ago
- Market simulator☆59Updated 4 years ago
- SigFormer: Signature Transformer for Deep Hedging (ICAIF 2023)☆11Updated last year
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Official implementation of PRUDEX-Compass☆42Updated last year
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- ☆116Updated 7 months ago
- code for "Optimal Stopping via Randomized Neural Networks"☆52Updated 10 months ago
- ☆32Updated 9 months ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Quant finance scripts☆15Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Updated this week
- esig python package☆47Updated 2 months ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆55Updated last year
- Multi-Agent eXchange simulator developed at Oxford-Man Institute☆60Updated 4 years ago
- ☆63Updated last month
- A DQN agent that optimally hedges an options portfolio.☆23Updated 5 years ago