Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add DataHedger and DeepHedger #575

Closed
wants to merge 6 commits into from

Commits on Apr 1, 2022

  1. init of data_hedge

    - Modify the entropic risk measure to be more robust for large price values
    - Build  datahedger class which can hedge with data already simulated or generated
    - Build deephedger class which can hedge with different neural networks at different time steps
    - add matplotlib into dependency (maybe move to dev-dependencies next time we do not need to include plotting features in the future)
    - add data_hedge.ipynb illustrating the two new classes
    justinhou95 committed Apr 1, 2022
    Configuration menu
    Copy the full SHA
    2da9c9a View commit details
    Browse the repository at this point in the history
  2. change loss

    use only entropic risk measure
    justinhou95 committed Apr 1, 2022
    Configuration menu
    Copy the full SHA
    8bf99d0 View commit details
    Browse the repository at this point in the history

Commits on Apr 5, 2022

  1. add data_hedge

    justinhou95 committed Apr 5, 2022
    Configuration menu
    Copy the full SHA
    edbcc40 View commit details
    Browse the repository at this point in the history

Commits on Apr 8, 2022

  1. sigma = 0.2

    justinhou95 committed Apr 8, 2022
    Configuration menu
    Copy the full SHA
    7e75589 View commit details
    Browse the repository at this point in the history
  2. epochs = 100

    justinhou95 committed Apr 8, 2022
    Configuration menu
    Copy the full SHA
    a9fd362 View commit details
    Browse the repository at this point in the history

Commits on Apr 13, 2022

  1. make check done

    justinhou95 committed Apr 13, 2022
    Configuration menu
    Copy the full SHA
    af7b22f View commit details
    Browse the repository at this point in the history