ARahimiQuant / forecasting-economic-and-market-regimesLinks
Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.
☆13Updated 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
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☆38Updated 7 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- Deep Dynamic Factor Models☆22Updated last year
- Capstone Research Project in NYU Courant☆10Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆23Updated last year
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆35Updated last year
- ☆71Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 9 months ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- ☆15Updated 4 years ago
- ☆42Updated 2 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 …☆13Updated 3 years ago
- Python Implementation of the CME FedWatch Tool for Estimating Probabilities of Federal Funds Rate Changes at Upcoming FOMC Meetings.☆27Updated last year
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- ☆23Updated 3 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆9Updated 4 years ago
- detecting regime of financial market☆39Updated 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…☆13Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Replication of https://ssrn.com/abstract=3984925☆43Updated last year
- Python library for asset pricing☆117Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆35Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆11Updated last year