cajohnst / Optimized_FX_Portfolio
Quadratic program minimizing risk while maintaining an expected return with the addition of rollover in the foreign exchange market
☆12Updated 8 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
- Event-driven Algorithmic Trading For Python☆25Updated 5 years ago
- finance☆43Updated 7 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Fully automated trading system, strategy based on Kalman filter☆13Updated 6 years ago
- Algorithmic multi-greek hedges using Python☆19Updated 4 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 6 years ago
- A model for forecasting stock volatility☆22Updated 7 years ago
- A framework for historical volatility estimation and analysis.☆34Updated 4 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- ☆10Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Predicting a Stock Price Using a Genetic Algorithm☆16Updated 7 years ago
- Reinforcement learning environment for trading☆15Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Option Strategy for Futures☆13Updated 4 years ago
- Hedging portfolios with reinforcement learning.☆34Updated 7 years ago
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆17Updated 5 years ago
- Code for researching and backtesting pairs trading☆24Updated 14 years ago
- A comprehensive approach for stock trading implemented using Neural Network and Reinforcement Learning separately.☆22Updated 6 years ago
- ☆10Updated 7 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- Machine Learning for Financial Market Prediction☆57Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- ☆35Updated 7 years ago
- Hierarchical Risk Parity☆28Updated 4 years ago