https://github.com/coorung/Finance-World

Optimization techniques on the financial area for the hedging, investment starategies, and risk measures
https://github.com/coorung/Finance-World

deep-learning deep-reinforcement-learning finance financial-engineering machine-learning market-microstructure reinforcement-learning risk-management

Last synced: 3 days ago
JSON representation

Optimization techniques on the financial area for the hedging, investment starategies, and risk measures

• Host: GitHub
• URL: https://github.com/coorung/Finance-World
• Owner: coorung
• License: mit
• Created: 2019-12-21T09:02:35.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2020-04-06T19:02:56.000Z (about 6 years ago)
• Last Synced: 2024-06-27T01:28:41.963Z (almost 2 years ago)
• Topics: deep-learning, deep-reinforcement-learning, finance, financial-engineering, machine-learning, market-microstructure, reinforcement-learning, risk-management
• Language: Jupyter Notebook
• Homepage:
• Size: 5.54 MB
• Stars: 41
• Watchers: 5
• Forks: 5
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.md

Awesome Lists containing this project

• awesome-github-projects - Finance-World - Optimization techniques on the financial area for the hedging, investment starategies, and risk measures ⭐43 `Jupyter Notebook` (📦 Legacy & Inactive Projects)

README

          
# Finance World

Optimization techniques on the financial area for the hedging, investment strategies, and risk measures.

Codes are categorized to Basic & Advanced, as the Financial engineering or Market microstructure concept are included or not. I am trying to visualize it to grasp well but recommend that check the reference paper before you give yourself over to code, especially in Advanced folder.

This repository will be added & fixed continuously

## Basic

### 1. Modern Portfolio Theory

![MPT](./Basic/fig/1_MPT.png)

### 2. Return Distribution Analysis with Risk Measure

![2. Return Distribution Analysis with Risk Measure](./Basic/fig/2_Distribution_Analysis.png)

### 3. Naive Classification Procedure for ML Trading

![3. Naive Classification Procedure for ML Trading](./Basic/fig/3_Classification.png)

### 4. ELS Pricing(Kor)

(The figure below is only intended to show the structure of the ELS. Code result is just a price of ELS)

![4. ELS Pricing](./Basic/fig/4_ELS.jpg)

### 5. Volatility Surface

![5. Volatility Surface](./Basic/fig/5_Volsurface.png)

## Advanced

### 1. Hedging Option with Replicating Portfolio(Kor)

![1. Hedging Option with Replicating Portfolio](./Advanced/fig/1_ReplicatingPF.gif)

### 2. Pension Planning using HJB eqn

![2. Pension Planning using HJB eqn](./Advanced/fig/2_PensionPlan1.png)

![2. Pension Planning using HJB eqn](./Advanced/fig/2_PensionPlan2.png)

### 3. Pension Planning with RL

![3. Pension Planning with RL](./Advanced/fig/3_PensionPlanRL.png)

### 4. High Frequency Trading with RL

![4. High Frequency Trading with RL](./Advanced/fig/4_HFT_RL.png)

(*cont'd*)

MIT License

Copyright (c) 2019 U. Jang