ZhengyaoJiang / rl-portfolio-management
Attempting to replicate "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" https://arxiv.org/abs/1706.10059 (and an openai gym environment)
☆16Updated 6 years ago
Related projects ⓘ
Alternatives and complementary repositories for rl-portfolio-management
- The repository contains the code for project for DS 5500 course at Northeastern.☆35Updated 4 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆53Updated 5 years ago
- apolanco3225 / Deep-Reinforcement-Learning-for-Optimal-Execution-of-Portfolio-Transactions-using-DDPGPerforming a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆53Updated 5 years ago
- ☆43Updated 4 years ago
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- detecting regime of financial market☆30Updated 2 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆28Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆19Updated 4 years ago
- differential Sharpe ratio☆31Updated 5 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆18Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 3 years ago
- Build DDPG models and test on stock market☆22Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- Deep Neural Networks for Options Pricing (Python)☆42Updated 6 years ago
- A DQN agent that optimally hedges an options portfolio.☆23Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆74Updated last year
- Code for thesis project on applying reinforcement learning to algorithmic trading☆32Updated last year
- Deep Reinforcement Learning applied to trading☆15Updated 5 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆34Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆24Updated last year
- Pair Trading Strategy using Machine Learning written in Python☆113Updated 2 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆71Updated 2 years ago
- This is a finance factor model, risk model, portfolio optimization, strategies research library.☆16Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆20Updated last year
- Deep Reinforcement Learning For Trading☆105Updated 9 months ago
- Deep q learning on determining buy/sell signal and placing orders☆46Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago