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
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- Source code for paper:Multi-agent reinforcement learning for liquidation strategy analysis☆58Updated 6 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- ☆16Updated 3 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
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 4 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆25Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- ☆19Updated 5 years ago
- apolanco3225 / Deep-Reinforcement-Learning-for-Optimal-Execution-of-Portfolio-Transactions-using-DDPGPerforming a trading strategy using deep deterministic policy gradients to know when to buy, hold or sell stocks in a virtual environment…☆58Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last year
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆66Updated 2 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Graphical Models in Heavy-Tailed Markets (NeurIPS 2021)☆39Updated 2 years ago
- Quant finance scripts☆16Updated 7 months 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
- Code to support my Master's thesis☆21Updated 2 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 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 10 months ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 5 months ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago