ARahimiQuant / forecasting-economic-and-market-regimesLinks
Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
☆14Updated 2 years ago
Alternatives and similar repositories for forecasting-economic-and-market-regimes
Users that are interested in forecasting-economic-and-market-regimes are comparing it to the libraries listed below
Sorting:
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- ☆21Updated 3 weeks ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Python Implementation of the CME FedWatch Tool for Estimating Probabilities of Federal Funds Rate Changes at Upcoming FOMC Meetings.☆33Updated 2 years ago
- detecting regime of financial market☆40Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- quantitative asset allocation strategy☆32Updated 8 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆36Updated last year
- Capstone Research Project in NYU Courant☆10Updated 5 years ago
- ☆11Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- ☆44Updated 2 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆17Updated 6 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 11 months ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 11 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆11Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- ☆23Updated 3 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆18Updated last year
- Multivariate GARCH modelling in Python☆16Updated 10 months ago