Alternatives and similar repositories for time-dep-hjb

Users that are interested in time-dep-hjb are comparing it to the libraries listed below

• cvxgrp / cvx_opt_risk_neutral
  Convex optimization over risk-neutral probabilities.
  ☆15Updated 5 years ago
• ragoragino / py-hawkes
  Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…
  ☆10Updated 7 years ago
• juanhenao21 / financial_response_spread_year
  Price response function and spread impact analysis in correlated financial markets
  ☆15Updated 5 months ago
• parsiad / QuantPDE
  A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.
  ☆59Updated 2 years ago
• sridas123 / Decision-making-in-Finance
  Adaptation of Monte Carlo and SARSA algorithms (Reinforcement Learning) for learning the policy of sellers/ buyers in stock market
  ☆12Updated 6 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• drewstone / gym-trading
  Reinforcement learning environment for trading
  ☆15Updated 7 years ago
• quantlabs / db-fx-strategy
  Roll model for trading strategy to C++ or FPGA via Matlab tool
  ☆10Updated 10 years ago
• ragoragino / limit-order-book
  Limit order book model with Poissonian order flow.
  ☆10Updated 7 years ago
• thalesians / bayestsa
  A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis
  ☆21Updated 8 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆24Updated 7 years ago
• QingyunSun / Distributional-Robust-Kelly-Gambling
  ☆18Updated 5 years ago
• Quiota / tensorflow
  ☆10Updated 8 years ago
• ronojoy / pybisp
  This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…
  ☆11Updated 3 years ago
• ucaiado / FiniteDifference_Pricing
  Pricing derivatives using the explicit finite-difference method
  ☆13Updated 8 years ago
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• hstrey / Ornstein-Uhlenbeck-Bayesian
  ☆18Updated 5 years ago
• sduprey / optimal_transaction_execution
  This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB6…
  ☆33Updated 11 years ago
• LianguangXue / VPIN
  Vpin caculation and backtesting
  ☆14Updated 5 years ago
• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆21Updated 4 years ago
• mm842 / lobpy
  Python package for a class of tractable SPDE models for limit order book modeling
  ☆35Updated 4 years ago
• phschiele / PyCLA
  A Python Package for Portfolio Optimization using the Critical Line Algorithm
  ☆27Updated last year
• tanvipotdar / LOBMidPricePrediction
  Create a mid-price classifier for limit order books using a CNN and LSTM
  ☆14Updated 5 years ago
• cvxgrp / kelly_code
  Code and examples for the project on risk-constrained Kelly gambling
  ☆27Updated 4 years ago
• jherekhealy / AQFED.jl
  Julia package for the book "Applied Quantitative Finance for Equity Derivatives"
  ☆38Updated last week
• AlessandroGnoatto / Deep-xVA-Solver
  Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633
  ☆16Updated 4 years ago
• jjakimoto / PPO-Pytorch
  Deep RL for portfolio management
  ☆13Updated 6 years ago
• jerryxyx / CUDA
  Using CUDA-accelerated Monte Carlo for option pricing. Developing a option pricing system in CUDA.
  ☆8Updated 7 years ago
• thertrader / Using-random-forest-to-model-limit-order-book-dynamic
  I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead
  ☆28Updated 5 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆44Updated 2 years ago