bqth29 / simulated-bifurcation-algorithm
Python CPU/GPU implementation of the Simulated Bifurcation (SB) algorithm to solve quadratic optimization problems (QUBO, Ising, TSP, optimal asset allocations for a portfolio, etc.).
☆103Updated last week
Related projects: ⓘ
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆37Updated last year
- Financial Portfolio Optimization Algorithms☆52Updated 2 months ago
- Public code for our paper https://ssrn.com/abstract=3958331☆23Updated 2 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆136Updated last year
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated last year
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆60Updated 4 years ago
- ☆98Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆109Updated 8 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆31Updated 2 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆15Updated 4 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆94Updated 10 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆45Updated 2 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆88Updated 4 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆33Updated 2 years ago
- Implementation of the vanilla Deep Hedging engine☆222Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆86Updated this week
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆43Updated 2 years ago
- Value at Risk and Backtest Routines☆21Updated 5 months ago
- The Quantum Counselor for portfolio investment is a tool with two main objectives: forecasting the trend of assets price and optimizing p…☆12Updated 2 years ago
- The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial…☆56Updated 2 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆100Updated 5 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆43Updated last year
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆80Updated last year
- Deep learning for options pricing.☆35Updated 4 years ago
- Examples and demos showing how to call functions from the NAG Library for Python☆60Updated 2 weeks ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆143Updated 8 months ago
- ☆51Updated this week
- ☆43Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆107Updated 6 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆43Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆148Updated 3 years ago