chandc / Inverse_Reinforcement_Learning_for_Stocks
Implement the model of Halperin and Feldshteyn for DJIA and SP500
☆10Updated 5 years ago
Related projects: ⓘ
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆18Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- A Higher-order HMM with EM algo.☆15Updated 2 years ago
- Deep Reinforcement Learning applied to trading☆15Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆20Updated last year
- Exploring Optimal Order Execution in Simulated Limit Order Books☆15Updated last year
- Wasserstein GAN with gradient penalty (WGAN-GP) applied to financial time series.☆15Updated 5 years ago
- Project completed during my studies at BGSE together with Travis Dunlop, Matthew Keys and Jordi Llorens☆17Updated 6 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆12Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆24Updated last year
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 5 years ago
- Blaze☆12Updated 3 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆12Updated 5 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆25Updated 4 years ago
- This code illustrates the use of genetic programming to evolve financial trading strategies for a single equity stock. Individuals (strat…☆24Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 5 years ago
- ☆12Updated last year
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆34Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆11Updated 3 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 5 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆19Updated 4 years ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆20Updated 7 years ago
- ☆14Updated 3 weeks ago
- ☆19Updated 4 years ago
- Regime-Switching Model☆16Updated 6 years ago
- Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market…☆15Updated 3 years ago