QingyunSun / Distributional-Robust-Kelly-GamblingLinks
☆19Updated 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:
- ☆26Updated 5 years ago
- Covariance prediction via convex optimization☆22Updated 4 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 2 years ago
- Economic models and things in Pytorch☆21Updated 7 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Portfolio Construction using Stratified Models☆12Updated 4 years ago
- fast parameter estimation for simpler Hawkes processes☆71Updated 3 years ago
- ☆13Updated 3 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Bayesian Optimization of Risk Measures☆21Updated last year
- Applications of Gaussian Process Latent Variable Models in Finance☆11Updated 3 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆13Updated last year
- Active multi-fidelity Bayesian online changepoint detection.☆18Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Implementation of NEWMA: a new method for scalable model-free online change-point detection☆46Updated 5 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- ☆67Updated 4 months ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 3 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- Trellis is a Python framework for research into deep hedging☆23Updated 4 years ago
- ☆14Updated 6 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆97Updated last year
- ☆33Updated 2 years ago
- Implementation of term structure model project☆22Updated 9 years ago
- Code for Probabilistic Sequential Matrix Factorization☆15Updated 4 years ago
- ☆23Updated 2 years ago
- Recurrent Neural Filters for Time Series Prediction☆23Updated 5 years ago