giorgosfatouros / DeepVaRLinks
Portfolio Risk Assessment leveraging Probabilistic Deep Neural Networks
☆18Updated 4 months ago
Alternatives and similar repositories for DeepVaR
Users that are interested in DeepVaR are comparing it to the libraries listed below
Sorting:
- ☆19Updated 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆45Updated 5 years ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- ☆18Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- A repository for portfolio allocation based on embedding data representation☆11Updated 7 months ago
- Python implementation of the Three Pass Regression Filter☆14Updated 5 years ago
- Markov decision processes under model uncertainty☆16Updated 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
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- ☆20Updated 7 months ago
- ARMA-GARCH☆97Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- ☆22Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆125Updated last year
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆82Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆41Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- ☆73Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago