cajohnst / Optimized_FX_PortfolioLinks
Quadratic program minimizing risk while maintaining an expected return with the addition of rollover in the foreign exchange market
☆12Updated 9 years ago
Alternatives and similar repositories for Optimized_FX_Portfolio
Users that are interested in Optimized_FX_Portfolio are comparing it to the libraries listed below
Sorting:
- finance☆43Updated 8 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- A Python toolkit for high-frequency trade research.☆42Updated 7 years ago
- Predicting a Stock Price Using a Genetic Algorithm☆16Updated 7 years ago
- ☆13Updated 5 years ago
- Hedging portfolios with reinforcement learning.☆36Updated 8 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 5 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Python Monte Carlo Simulation to model returns from randomly generated portfolios against a benchmark index.☆23Updated 10 years ago
- ☆10Updated 7 years ago
- ☆11Updated 10 years ago
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- Predictive analysis of the OLMAR algorithm☆13Updated 9 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆43Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Code for getting implied volatility in Python☆27Updated 8 years ago
- ☆27Updated 6 years ago
- ☆36Updated 8 years ago
- Unsupervised Learning to Market Behavior Forecasting Example☆40Updated 5 years ago
- Deep Learning Stock Volatility with Google Domestic Trends: https://arxiv.org/pdf/1512.04916.pdf☆94Updated 3 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- Financial Time Series Price forecast using Keras for Tensorflow. RNN LSTM☆48Updated 8 years ago
- Algorithmic multi-greek hedges using Python☆21Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago