QingyunSun / Distributional-Robust-Kelly-GamblingLinks
☆18Updated 5 years ago
Alternatives and similar repositories for Distributional-Robust-Kelly-Gambling
Users that are interested in Distributional-Robust-Kelly-Gambling are comparing it to the libraries listed below
Sorting:
- Economic models and things in Pytorch☆21Updated 7 years ago
- ☆26Updated 5 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Applications of Gaussian Process Latent Variable Models in Finance☆11Updated 3 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 2 years ago
- Covariance prediction via convex optimization☆21Updated 4 years ago
- ☆14Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆13Updated last year
- Recurrent Neural Filters for Time Series Prediction☆24Updated 5 years ago
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- Source code for the AAAI 2019 paper "On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters" (https://arx…☆19Updated 4 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆57Updated 3 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- ☆13Updated 3 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Quant finance scripts☆16Updated 4 months ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- fast parameter estimation for simpler Hawkes processes☆70Updated 3 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated 2 years ago
- ☆19Updated 7 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆96Updated last year
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 7 years ago
- Implementation of NEWMA: a new method for scalable model-free online change-point detection☆47Updated 5 years ago