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 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 6 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆60Updated last year
- ☆17Updated 3 years ago
- End-to-end distributionally robust optimization☆37Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆37Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆132Updated 2 weeks 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
- Deep direct reinforcement learning for financial signal representation and trading☆31Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- ☆22Updated last year
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Updated 4 years ago
- ☆37Updated last year
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆36Updated 6 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- ☆50Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Updated 5 years ago
- SigFormer: Signature Transformer for Deep Hedging (ICAIF 2023)☆19Updated 2 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆129Updated 5 years ago
- Market simulator☆61Updated 5 years ago
- FInancial REinforcement learning☆30Updated 2 years ago
- ☆18Updated 5 years ago
- Temporal Attention-Augmented Bilinear Network for Financial Time-Series Data Analysis☆37Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year