hamaadshah / market_risk_gan_tensorflow
Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.
☆86Updated last year
Related projects ⓘ
Alternatives and complementary repositories for market_risk_gan_tensorflow
- ☆70Updated 2 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆68Updated 4 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆123Updated 5 years ago
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆105Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆153Updated 5 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆38Updated 3 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Repository for teachings on Quant Finance☆48Updated 5 years ago
- This git repository is based on the work of J.Heaton, N.Polson and J.Witte and their articleDeep Learning for Finance: Deep Portfolios. …☆44Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 7 months ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆20Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆22Updated last year
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆116Updated 3 years ago
- Stock Market Prediction Using Unsupervised Features☆53Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆19Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆60Updated 6 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆76Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Pair Trading Strategy using Machine Learning written in Python☆112Updated 2 years ago
- Hedging portfolios with reinforcement learning.☆34Updated 7 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- ☆36Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- Usage of policy gradient reinforcement learning to solve portfolio optimization problems (Tactical Asset Allocation).☆33Updated 5 years ago
- Portfolio optimization with cvxopt☆15Updated last year
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆44Updated 5 years ago