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jurajzelman Goto Github PK

followers: 13.0 following: 29.0 repos: 15.0 gists: 0.0

Name: Juraj Zelman

Type: User

Bio: MSc Quantitative Finance student at ETH Zürich & UZH with a background in pure mathematics.

Location: Zürich, Switzerland

Hello there 👋

# About me

class QuantitativeDeveloper:
    def __init__(self):
        self.name = "Juraj Zelman"
        self.role = "Quantitative Developer & Quantitative Finance Student"
        self.uni = "ETH Zürich & UZH"

    def get_interests(self):
        self.math = "Math. Finance, Statistics, Numerical Methods, Optimal Control"
        self.comp_science = "Statistical Learning, (Deep) Reinforcement Learning"
        self.finance = "Statistical Arbitrage, Market Making, Portfolio Optimization"
        return f"{self.math} and {self.comp_science} and {self.finance}"

    def say_hi(self):
        print("Thanks for stopping by, hope you find some of my work interesting!")


me = QuantitativeDeveloper()
me.say_hi()

🔧 Technologies & Tools

Juraj Zelman's Projects

airl-market-making

Codes for my master thesis from ETH Zürich & UZH on reinforcement learning for market making.

asvz-bot

Bot for automation of enrollment to ASVZ sport classes.

deep-hedging

deep-hedging-rl

distortion-risk-measures

BSc thesis focused on distortion risk measures and reward-risk ratios.

dynamic-programming-22

Scripts for the Dynamic Programming and Optimal Control 2022 course at ETH Zürich.

heston-model

Monte Carlo simulation of the evolution of the volatility (Cox-Ingersoll-Ross process) in the Heston model

jurajzelman

Config files for the GitHub profile.

microprice

The micro-price estimators from the paper "The Micro-Price: A High Frequency Estimator of Future Prices - Stoikov (2017)".

multi-armed-bandits

Several multi-armed bandit strategies with additional holding option for smoother exploration.

pairs-trading

Fork of a pairs trading repository.

py-parallelization

Template for parallelizing tasks in Python with the multiprocessing module.

rl-adventure

Pytorch Implementation of DQN / DDQN / Prioritized replay/ noisy networks/ distributional values/ Rainbow/ hierarchical RL.

siamese-neural-net

Siamese neural network based on a pre-trained ResNet-18 convolutional neural network for image comparison.

volatility-path-dependent

Code for the paper "Volatility is (mostly) path-dependent - Guyon, Lekeufack (2022)".

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