acoache / RL-DynamicConvexRiskLinks
Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures
☆23Updated last year
Alternatives and similar repositories for RL-DynamicConvexRisk
Users that are interested in RL-DynamicConvexRisk are comparing it to the libraries listed below
Sorting:
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- End-to-end distributionally robust optimization☆36Updated 2 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆60Updated last year
- Bayesian Optimization of Risk Measures☆21Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆35Updated 2 years ago
- ☆16Updated 3 years ago
- ☆21Updated 11 months ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Deep direct reinforcement learning for financial signal representation and trading☆31Updated 5 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆25Updated 4 years ago
- FInancial REinforcement learning☆30Updated 2 years ago
- Reinforcement Learning framework to make synthetic experiments in the financial domain☆23Updated 2 years ago
- A repository for simulating limit order book dynamics from historical data and using it to train a reinforcement learning agent to make m…☆32Updated 3 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆128Updated this week
- Official Implementation of Stop-loss adjusted labels for machine learning-based trading of risky assets☆18Updated 2 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Updated 5 years ago
- Official implementation of the UMDQN algorithm presented in the scientific research paper entitled "Distributional Reinforcement Learning…☆11Updated 3 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆36Updated 6 years ago
- ☆28Updated 5 months ago
- Temporal Attention-Augmented Bilinear Network for Financial Time-Series Data Analysis☆36Updated 6 years ago
- Deep RL for portfolio management☆13Updated 7 years ago
- Market simulator☆61Updated 5 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆51Updated last month