sridas123 / Decision-making-in-Finance
Adaptation of Monte Carlo and SARSA algorithms (Reinforcement Learning) for learning the policy of sellers/ buyers in stock market
☆12Updated 6 years ago
Alternatives and similar repositories for Decision-making-in-Finance:
Users that are interested in Decision-making-in-Finance are comparing it to the libraries listed below
- Deep Reinforcement Learning applied to trading☆15Updated 6 years ago
- ☆19Updated 4 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆14Updated 6 years ago
- Backtesting tool on tick data☆11Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 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
- Vpin caculation and backtesting☆14Updated 5 years ago
- Limit order book model with Poissonian order flow.☆10Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Value and Momentum Using Machine Learning☆11Updated 4 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Updated 9 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆17Updated 5 years ago
- Code for researching and backtesting pairs trading☆24Updated 15 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Updated 5 years ago
- Portfolio optimization package in Python.☆16Updated 5 years ago
- ALGORITHM TRADING AND STOCK PREDICTION USING MACHINE LEARNING☆15Updated 6 years ago
- This project deals with the use of machine learning to predict changes in stock values as well as we incorporating study on effect of dif…☆13Updated 7 years ago
- A method to search for a subset of best performing items wrt black-box reward function☆12Updated 5 years ago
- Python package for generating Directional Changes - a technical analysis indicator - from time series.☆20Updated 6 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Updated 5 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Machine Learning examples adapted from Hastie, Tibshirani, and Friedman book☆9Updated 7 years ago
- (Work In Progress) Implementation of "Financial Time Series Prediction Using Deep Learning"☆16Updated 7 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆20Updated 7 months ago
- Reinforcement learning environment for trading☆15Updated 7 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 4 years ago
- Simple Trading strategy based on estimating trend reversal unsing genetic programming and directional changes☆11Updated 3 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 5 years ago
- Randomly partitions time series segments into train, development, and test sets; Trains multiple models optimizing parameters for develo…☆11Updated 5 years ago