SvenBecker / TAA-PGLinks
Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).
☆33Updated 6 years ago
Alternatives and similar repositories for TAA-PG
Users that are interested in TAA-PG are comparing it to the libraries listed below
Sorting:
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆69Updated 2 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 5 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆35Updated 5 years ago
- ☆25Updated 7 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆22Updated last year
- Having effective intraday forecast for the level of trading volume is of vital importance to algorithmic trading and portfolio management…☆51Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 years ago
- ☆24Updated 5 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆69Updated last year
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Deep q learning on determining buy/sell signal and placing orders☆50Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆48Updated 4 years ago
- ML pipeline for SmartBeta momentum factor on equity portfolio☆11Updated 9 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆22Updated 3 years ago
- ☆73Updated 3 years ago
- This repository contains an automated trading system using machine learning for stock return prediction, position sizing and generating e…☆14Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 7 years ago
- LSTM stock prediction and backtesting☆14Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago