Quiota / tensorflowLinks
☆10Updated 8 years ago
Alternatives and similar repositories for tensorflow
Users that are interested in tensorflow are comparing it to the libraries listed below
Sorting:
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆27Updated 6 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆30Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆25Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated this week
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Demo for the application of RL to non-stationary effects☆45Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago