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Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation …
FIX (Financial Information eXchange) Engine implemented in Python
High performance Python GLMs with all the features!
🧑🏫 60 Implementations/tutorials of deep learning papers with side-by-side notes 📝; including transformers (original, xl, switch, feedback, vit, ...), optimizers (adam, adabelief, sophia, ...), gan…
Scalable and user friendly neural 🧠 forecasting algorithms.
This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-201…
A playbook for systematically maximizing the performance of deep learning models.
Parallel random matrix tools and complexity for deep learning
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 co…