High-frequency statistical arbitrage
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Updated
Jul 30, 2023 - Jupyter Notebook
High-frequency statistical arbitrage
Python code of commonly used stochastic models for Monte-Carlo simulations
IME-published article on Long-term Real Dynamic Investment Planning. While we enhance predictability of the real returns of S&P500 Index, we derive optimal non-myopic investment strategy, and we compare its performance with near-optimal Dynamic and Constant Merton investment strategies.
Variational quantum simulations of stochastic differential equations
Ornstein unlenbeck process simulation in python
Hamiltonian Monte Carlo (HMC) sampling method in Python3, based on the original paper: Simon Duane, Anthony D. Kennedy, Brian J. Pendleton and Duncan Roweth (1987). "Hybrid Monte Carlo". Physics Letters B. 195 (2): 216–222.
A Pyro-PPL implementation of a 2D Ornstein-Uhlenbeck process using stochastic variational inference.
Stochastic Processes: Basic Examples
Solve the Inverted Pendulum Control problem using Deep Deterministic Policy Gradient model
Implementation of a Denoising Diffusion Probabilistic Model with some mathematical background.
Python simulations for CTRWs Ornstein-Uhlenbeck process with different stability index
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