hansbuehler / deephedgingLinks
Implementation of the vanilla Deep Hedging engine
☆318Updated 2 weeks ago
Alternatives and similar repositories for deephedging
Users that are interested in deephedging are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆204Updated this week
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆216Updated last year
- PyTorch-based framework for Deep Hedging☆335Updated last year
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆356Updated 2 months ago
- A collection of homeworks of market microstructure models.☆277Updated 7 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆285Updated last week
- Deep Learning Statistical Arbitrage☆254Updated 3 years ago
- ☆152Updated 2 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆245Updated last year
- ArbitrageLab is a python library that enables traders who want to exploit mean-reverting portfolios by providing a complete set of algori…☆629Updated last year
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆141Updated last year
- We implement the paper: Deep Learning Volatility☆203Updated 5 years ago
- ☆141Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆237Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆133Updated last year
- experiments with pair trading☆332Updated last year
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆496Updated last week
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆107Updated 10 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆124Updated 2 years ago
- HFT signals on GDAX☆115Updated 8 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆205Updated last year
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆286Updated last week
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…