PierreNowi / cs230-project
Deep Reinforcement Learning Framework for Factor Investing
☆20Updated last year
Related projects: ⓘ
- A financial trading method using machine learning.☆56Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆36Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆19Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆27Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆43Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 5 years ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆24Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 4 months ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 7 months ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆16Updated 4 years ago
- ☆15Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆19Updated 10 months ago
- quantitative asset allocation strategy☆18Updated last year
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆27Updated 5 years ago
- Design your own Trading Strategy☆35Updated 6 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆58Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆73Updated last year
- Implementation of the famous Black-Litterman model in Jupyter notebook☆37Updated 4 years ago
- ☆34Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 3 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 6 months ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 4 months ago
- Implements different approaches to tactical and strategic asset allocation☆25Updated last year
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆18Updated 4 years ago
- A low frequency statistical arbitrage strategy☆16Updated 5 years ago