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:
- Covariance prediction via convex optimization☆21Updated 4 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Applications of Gaussian Process Latent Variable Models in Finance☆11Updated 3 years ago
- ☆26Updated 5 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 4 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 2 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- ☆14Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Portfolio Construction using Stratified Models☆11Updated 4 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆13Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- ☆67Updated 3 months ago
- Pytorch implementation of Recurrent Neural Processes https://arxiv.org/pdf/1906.05915.pdf☆22Updated 6 years ago
- Talk Materials for "Convex Optimization for Finance"☆29Updated 2 years ago
- Robust bayesian online changepoint detection with model selection☆23Updated 6 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- A variational method for fast, approximate inference for stochastic differential equations.☆44Updated 7 years ago
- ☆20Updated 7 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆36Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆42Updated 6 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Implementation of NEWMA: a new method for scalable model-free online change-point detection☆47Updated 5 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆97Updated last year
- ☆28Updated 3 months ago