Code Monkey home page Code Monkey logo

machine-learning-and-reinforcement-learning-in-finance's Introduction

https://joelowj.github.io/joelowj/

My Blog

powered by fastpages

What To Do Next?

Great! You have setup your repo. Now its time to start writing content. Some helpful links:

Note: you may want to remove example blog posts from the _posts, _notebooks or _word folders (but leave them empty, don't delete these folders) if you don't want these blog posts to appear on your site.

Please use the nbdev & blogging channel in the fastai forums for any questions or feature requests.

machine-learning-and-reinforcement-learning-in-finance's People

Contributors

joelowj avatar

Stargazers

 avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar

Watchers

 avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar

machine-learning-and-reinforcement-learning-in-finance's Issues

Course 3 and Course 4

When are the assignments of the remaining courses (course 3 and 4) going to be uploaded?

Fitted Q-Iteration (80/100)

Current submission

Reward Function 20/20
Replicating Portfolio 20/20
Coefficient Matrix S 20/20
Coefficients Vector M 20/20
Fitted Q-Iteration Option Price 0/20

I haven't had time to figure out the issue with Fitted Q-Iteration Option Price but this would suffice for those who need to pass this assignment.

Data visualization with t-SNE (80/100)

Current submission
Moving Average 20/20
Linear Regression of Stock Returns 20/20
Unexplained Log-Returns 20/20
Project PCA 20/20
Visualize T-SNE 20/20

It appears to me that Project PCA is having issue with the grader.
This particular part of the assignment appears to be a very simple KernelPCA fit transform of df_test. At the same time, the index replication plots appear to be reasonable with PCA_1 tracing the trendline of SPX reasonably. Hopefully, the staff will fixed this issue and I will update this assignment later on.

Bank defaults prediction using FDIC dataset (80/100)

Current submission

Logistic Regression Stats Model 20/20
Logistic Regression using Scikit-learn 20/20
Logistic Regression fewer predictors 20/20
Logistic Regression with Tensorflow 0/20
Logistic Regression with Neural Network 20/20

I am left with Logistic Regression with Tensorflow which did not clear the grader (your answer to Logistic Regression with TensorFlow is not correct). In case, there is any issue with the grader, I will wait for a while before attempting this question again. If anyone managed to clear this and would like to help, feel free to start a discussion.

Tobit Regression Assignment (80/100)

Current submissions

Tobit Model Weights 20/20
Tobit Model: loss, standard error, L1 error . 20/20
Linear Regression with non-linear data 20/20
Linear Regression Model Score 20/20
Neural Network with Non-Linear Data 20/20

My implementation for Neural Network with Non-Linear Data did not clear the grader.
Feel free to start a discussion if you managed to clear the grader or have an even better implementation.

Eigen Portfolio construction via PCA (75/100)

Current submission

Asset Returns Calculation 15/15
Calculate Variances of Returns 15/15
Eigen Portfolio Weights 15/15
Second Eigen Portfolio Weights 15/15
Eigen Portfolios: Sorted by Sharpe Ratio 25/25
Portfolio with the Highest Sharpe Ratio 15/15

Having issue clearing the grader for sorted by Sharpe ratio.
The sorted sharpe ratio portfolio I am getting is 42, 104, 2, 94, 9, ... We know that 42 is definitely right, since 42 cleared the section of Portfolio with the Highest Sharpe Ratio.

Absorption Ratio via PCA (75/100)

Current submission

Exponentially Weighted Returns 25/25
Linear Auto Encoder 25/25
Portfolio Weights 25/25
Trading Strategy Performance 0/25

My approach to calculate annuazlied returns, annuazlied volatility and sharpe ratio appears to be correct. I make a rough implementation just to check if I could clear the grader. Unfortunately, it did not. It could be an issue with the grader, I will wait a while before attempting this part again.

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    ๐Ÿ–– Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. ๐Ÿ“Š๐Ÿ“ˆ๐ŸŽ‰

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google โค๏ธ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.