Implementation of the DDPG algorithm for Optimal Finance Trading
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Sep 15, 2019 - Jupyter Notebook
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almgren-chriss
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DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
java
drip
asset-allocation
portfolio-construction
optimal-execution
drip-asset-allocation
black-litterman
constrained-portfolio-optimization
factor-models
idzorek
almgren-chriss
optimal-transaction
transaction-cost
optimal-dynamic-portfolio
multi-period-portfolio-optimization
stochastic-liquidity-volatility
market-impact-models
principal-program-trades
mean-variance-optimization
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Updated
Sep 26, 2018 - CSS
monte-carlo
monte-carlo-simulation
optimal-control
bootstrapping-statistics
monte-carlo-integration
yield-curve
optimal-execution
almgren-chriss
computational-finance
financial-engineering
monte-carlo-sampling
modern-portfolio-theory
financial-economics
markowitz-portfolio
stochastic-optima
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Updated
Dec 19, 2019 - MATLAB
This project implements an advanced trading execution system based on the research paper "A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution" by Hendricks and Wilcox. The system combines traditional algorithmic trading methods with machine learning to optimize trading performance.
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Updated
Nov 4, 2024 - Python
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