ARahimiQuant / forecasting-economic-and-market-regimesLinks
Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
☆16Updated 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.☆16Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated last year
- ☆25Updated last month
- ☆50Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last month
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆14Updated 5 years ago
- Measure market risk by CAViaR model☆15Updated last year
- Resources for Quantitative Finance☆17Updated 2 years ago
- detecting regime of financial market☆42Updated 3 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- Capstone Research Project in NYU Courant☆10Updated 6 years 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 …☆14Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- quantitative asset allocation strategy☆35Updated 11 months ago
- ☆17Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆135Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ☆15Updated 4 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆26Updated 4 years ago