giorgosfatouros / DeepVaRLinks
Portfolio Risk Assessment leveraging Probabilistic Deep Neural Networks
☆18Updated 5 months ago
Alternatives and similar repositories for DeepVaR
Users that are interested in DeepVaR are comparing it to the libraries listed below
Sorting:
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 5 years ago
- ☆19Updated 8 years ago
- A repository for portfolio allocation based on embedding data representation☆11Updated 7 months ago
- Markov decision processes under model uncertainty☆16Updated 3 years ago
- Python implementation of the Three Pass Regression Filter☆14Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- This repository contains dataset for paper FedNLP: An interpretable NLP System to Decode Federal Reserve Communications, published in SIG…☆14Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- ☆22Updated 3 years ago
- ☆20Updated 7 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆46Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- ☆18Updated 3 years ago
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 5 years ago
- A repository for machine learning based investment strategies☆27Updated 5 years ago
- ☆73Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆25Updated 3 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
- Plotting the Efficient Frontier in Python. Inspired by Markowitz Modern Portfolio Theory.☆18Updated 4 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- quantitative asset allocation strategy☆32Updated 8 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago