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

Python simulations for CTRWs Ornstein-Uhlenbeck process with different stability index

Stochastic Processes: Basic Examples

Solve the Inverted Pendulum Control problem using Deep Deterministic Policy Gradient model

Implementation of a Denoising Diffusion Probabilistic Model with some mathematical background.

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.