ARahimiQuant / forecasting-economic-and-market-regimes
Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
☆12Updated last year
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
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆31Updated 4 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 …☆8Updated 3 years ago
- ☆37Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Multivariate GARCH modelling in Python☆16Updated 5 months ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆33Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 6 months ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆13Updated last month
- ☆17Updated 3 years ago
- Capstone Research Project in NYU Courant☆10Updated 5 years ago
- ☆14Updated 3 years ago
- Publicly available Python and Gretl code from posts at my blog Prognostikon☆8Updated 3 weeks ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆30Updated last year
- Python Implementation of the CME FedWatch Tool for Estimating Probabilities of Federal Funds Rate Changes at Upcoming FOMC Meetings.☆24Updated last year
- ☆25Updated this week
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- ☆20Updated 3 months ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated 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…☆12Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆69Updated last month
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago