guijinSON / NNHedgeLinks
A Deep Learning Framework for Neural Derivative Hedging
☆30Updated 3 years ago
Alternatives and similar repositories for NNHedge
Users that are interested in NNHedge are comparing it to the libraries listed below
Sorting:
- By means of stochastic volatility models☆44Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- ☆50Updated 4 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- 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
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆159Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆54Updated 4 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- ☆27Updated last month
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- ☆40Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated 3 weeks ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago