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
- Deep Direct Recurrent Reinforcement Learning to learn trading system☆26Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- ☆43Updated 4 years ago
- Temporal Attention-Augmented Bilinear Network for Financial Time-Series Data Analysis☆32Updated 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
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- A DQN agent that optimally hedges an options portfolio.☆23Updated 4 years ago
- Deep Reinforcement Learning for Stock trading task☆18Updated 3 years ago
- Code for thesis project on applying reinforcement learning to algorithmic trading☆32Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆49Updated 8 months ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆27Updated 5 years ago
- Pair Trading Strategy using Machine Learning written in Python☆112Updated 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…☆12Updated 3 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
- 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
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- reinforcement learning project for crypto portfolio management☆9Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Artificial-Intelligence-Big-Data-Lab / A-Multi-Layer-and-Multi-Ensembled-Stock-Trader-Using-Deep-Learning-and-Deep-Reinforcement-Learning☆51Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- A financial trading method using machine learning.☆58Updated last year
- differential Sharpe ratio☆31Updated 5 years ago
- This code illustrates the use of genetic programming to evolve financial trading strategies for a single equity stock. Individuals (strat…☆24Updated 5 years ago
- ☆20Updated 4 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆34Updated 5 years ago
- Reinforcement Learning in FX Trading☆28Updated 5 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆16Updated 4 years ago