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Deep-Reinforcement-Learning-for-Portfolio-Optimisation
Deep-Reinforcement-Learning-for-Portfolio-Optimisation PublicDeep reinforcement learning for portfolio optimisation with risk controls (DDPG/PPO). HKUST IEDA4000F research codebase.
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Quantifying-VIX-Tail-Risk
Quantifying-VIX-Tail-Risk PublicGARCH and Compound Poisson models for VIX tail-risk quantification (HKUST IEDA4000E)
Jupyter Notebook
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Mean-Variance-Optimal-Delta-Hedging-of-Short-Strangles-on-Bitcoin-Futures-Options
Mean-Variance-Optimal-Delta-Hedging-of-Short-Strangles-on-Bitcoin-Futures-Options PublicMean-variance optimal delta-hedging of short strangles on Bitcoin futures options (HKUST IEDA3330)
Python
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Empirical-Asset-Pricing-via-Machine-Learning
Empirical-Asset-Pricing-via-Machine-Learning PublicReplication of Gu, Kelly & Xiu (2020) ML asset pricing: GBRT, Elastic Net, OLS-3, and Fama-French benchmarks on the GKX characteristic panel.
Jupyter Notebook
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Comparative-Analysis-of-Machine-Learning-Models-for-Fraud-Detection
Comparative-Analysis-of-Machine-Learning-Models-for-Fraud-Detection PublicSupervised ML pipeline comparing classifiers for imbalanced online payment fraud detection (IEDA3560, HKUST).
Python
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Transparent-Credit-Scoring-with-Explainable-Machine-Learning-
Transparent-Credit-Scoring-with-Explainable-Machine-Learning- PublicInterpretable multiclass credit scoring with SHAP explainability (LogReg, RF, XGBoost). HKUST IEDA4500 research codebase.
Python
Repositories
- Mean-Variance-Optimal-Delta-Hedging-of-Short-Strangles-on-Bitcoin-Futures-Options Public
Mean-variance optimal delta-hedging of short strangles on Bitcoin futures options (HKUST IEDA3330)
- Quantifying-VIX-Tail-Risk Public
GARCH and Compound Poisson models for VIX tail-risk quantification (HKUST IEDA4000E)
- Empirical-Asset-Pricing-via-Machine-Learning Public
Replication of Gu, Kelly & Xiu (2020) ML asset pricing: GBRT, Elastic Net, OLS-3, and Fama-French benchmarks on the GKX characteristic panel.
- Kalman-Filter-Based-Statistical-Arbitrage-A-Dynamic-Pairs-Trading-Strategy Public
Kalman filter statistical arbitrage and dynamic pairs trading on cointegrated equities. HKUST IEDA3180 research codebase.
- Transparent-Credit-Scoring-with-Explainable-Machine-Learning- Public
Interpretable multiclass credit scoring with SHAP explainability (LogReg, RF, XGBoost). HKUST IEDA4500 research codebase.
- Comparative-Analysis-of-Machine-Learning-Models-for-Fraud-Detection Public
Supervised ML pipeline comparing classifiers for imbalanced online payment fraud detection (IEDA3560, HKUST).
- Deep-Reinforcement-Learning-for-Portfolio-Optimisation Public
Deep reinforcement learning for portfolio optimisation with risk controls (DDPG/PPO). HKUST IEDA4000F research codebase.
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