ssanderson / convex-optimization-for-finance
Talk Materials for "Convex Optimization for Finance"
☆28Updated 2 years ago
Alternatives and similar repositories for convex-optimization-for-finance:
Users that are interested in convex-optimization-for-finance are comparing it to the libraries listed below
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 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
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆19Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- ☆10Updated 7 years ago
- finance☆43Updated 7 years ago
- Tutorials about Machine Learning and Deep Learning☆30Updated 6 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- ☆12Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Machine Learning for Financial Market Prediction☆58Updated 6 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- ☆27Updated 7 years ago
- ☆22Updated 5 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- Hedging portfolios with reinforcement learning.☆35Updated 7 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- Using Q-learning to better navigate orderbooks.☆21Updated 7 years ago
- Value and Momentum Using Machine Learning☆11Updated 4 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago