guijinSON / Awesome-Deep-HedgingLinks
A curated list of resources dedicated to Deep Hedging
☆87Updated 3 years ago
Alternatives and similar repositories for Awesome-Deep-Hedging
Users that are interested in Awesome-Deep-Hedging are comparing it to the libraries listed below
Sorting:
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- ☆50Updated last year
- ☆50Updated 5 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆165Updated last year
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆41Updated last year
- ☆73Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆206Updated last year
- ☆53Updated 4 years ago
- ☆141Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Implementation of AFML Book☆21Updated 6 years ago
- Pairs Trading in Python☆23Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- ☆152Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Deep learning modelling of orderbooks☆101Updated 5 years ago
- Probability of Backtest Overfitting in Python☆126Updated 2 years ago
- ☆40Updated 4 years ago
- Implementation of the vanilla Deep Hedging engine☆297Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆115Updated 10 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 11 months ago
- Python library for asset pricing☆121Updated last year