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
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.
Ornstein unlenbeck process simulation in python
A Pyro-PPL implementation of a 2D Ornstein-Uhlenbeck process using stochastic variational inference.
Stochastic Processes: Basic Examples
Numerical investigation of vortex acoustic lock-in in combustors of gas turbine engines under the influence of turbulent flow fields
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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