sk3391 / CS230
☆10Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for CS230
- ☆12Updated last year
- High Frequency Jump Prediction Project☆34Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆21Updated last year
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆21Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆30Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆18Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆19Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- A Deep Reinforcement Learning neural net for an original Multi-Dimensional Pairs Trading strategy is proposed☆21Updated 5 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Collection of Models related to market making☆14Updated 3 years ago
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆35Updated 3 years ago
- ☆42Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆13Updated 4 years ago
- Portfolio optimization with cvxopt☆15Updated last year
- ☆15Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 5 months ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated last month
- A financial trading method using machine learning.☆58Updated last year
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated last year
- This repo is for my articles published on Medium.com☆15Updated last year
- This is a non-official implementation of the trend labeling method proposed in the paper "A Labeling Method for Financial Time Series Pre…☆30Updated 2 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆17Updated 2 years ago