giorgosfatouros / DeepVaRLinks
Portfolio Risk Assessment leveraging Probabilistic Deep Neural Networks
☆16Updated 3 months ago
Alternatives and similar repositories for DeepVaR
Users that are interested in DeepVaR are comparing it to the libraries listed below
Sorting:
- Implementation of a variety of Value-at-Risk backtests☆39Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- ☆71Updated 2 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Markov decision processes under model uncertainty☆16Updated 3 years ago
- ☆18Updated 8 years ago
- Python implementation of the Three Pass Regression Filter☆14Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆36Updated 5 years ago
- quantitative asset allocation strategy☆28Updated 5 months ago
- DCC GARCH modeling in Python☆95Updated 5 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆38Updated last year
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 5 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆119Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- A repository for portfolio allocation based on embedding data representation☆11Updated 5 months ago
- ☆22Updated 3 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆133Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆39Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- ARMA-GARCH☆97Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Code and documents from Econ 690 at Duke☆9Updated 3 years ago
- Code that I show on my YouTube Channel☆100Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 3 years ago