shilewenuw / deep-learning-portfolio-optimizationLinks
☆74Updated 4 years ago
Alternatives and similar repositories for deep-learning-portfolio-optimization
Users that are interested in deep-learning-portfolio-optimization are comparing it to the libraries listed below
Sorting:
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆125Updated 5 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆126Updated 5 years ago
- Solutions for selected exercises from Advances in Financial Machine Learning by Marcos Lopez De Prado☆65Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆81Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆82Updated 6 months ago
- ☆202Updated 2 years ago
- Deep Learning Statistical Arbitrage☆237Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆176Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- CS7641 Team project☆96Updated 5 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆253Updated 2 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆84Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆68Updated last year
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- ☆42Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆116Updated 5 months ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆263Updated 3 weeks ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆166Updated 5 years ago