sebjai / robust-risk-aware-rlLinks
Some implementations from the paper robust risk aware reinforcement learning
☆36Updated 3 years ago
Alternatives and similar repositories for robust-risk-aware-rl
Users that are interested in robust-risk-aware-rl are comparing it to the libraries listed below
Sorting:
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Updated last year
- Quant finance scripts☆16Updated 5 months ago
- ☆16Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 5 years ago
- Code to support my Master's thesis☆21Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆53Updated 2 years ago
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆49Updated 8 months ago
- Hawkes with Latency☆20Updated 4 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Updated 2 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- ☆19Updated 5 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆52Updated 5 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆25Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆36Updated 2 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆67Updated 3 months ago