PierreNowi / cs230-project
Deep Reinforcement Learning Framework for Factor Investing
☆25Updated 2 years ago
Alternatives and similar repositories for cs230-project:
Users that are interested in cs230-project are comparing it to the libraries listed below
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- ☆18Updated 8 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- ☆24Updated 6 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- ☆17Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆24Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- A financial trading method using machine learning.☆60Updated 2 years ago
- ☆21Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆18Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- quantitative asset allocation strategy☆23Updated 2 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- 多因子模型相关☆21Updated 3 years ago
- An equity analysis on momentum factor investing.☆10Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Tracking S&P 500 index with deep learning model☆12Updated last year