YanaSSS / model-stock-price-dynamics-using-SDE
Using Geometric Brownian Motion model to model stock price dynamics - First project using Python
☆8Updated 5 years ago
Alternatives and similar repositories for model-stock-price-dynamics-using-SDE:
Users that are interested in model-stock-price-dynamics-using-SDE are comparing it to the libraries listed below
- A Program to calculate the price of American put or call option with Least Square Monte Carlo☆12Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆13Updated 10 months ago
- ARMA-GARCH☆95Updated last year
- Project that uses deep learning to forecast stock returns and defines the optimal allocation for a maximum☆22Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆64Updated 3 weeks ago
- This is the implementation for Hierarchical Risk Parity approach to portfolio optimization☆28Updated 5 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 11 months ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- ☆22Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- ACM Research 2021 | Implementing and benchmarking the performance of various online portfolio selection algorithms on real-world trading …☆24Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆11Updated 3 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆9Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 4 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆116Updated 4 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆40Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- A Quantitative Finance Engineering Project☆11Updated last year
- ☆11Updated 3 years ago
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year