AaronXxx1024 / Fama-French-3-Factor-Model-Implementation
Classical Fama French Three Factor Model.
☆15Updated 4 years ago
Alternatives and similar repositories for Fama-French-3-Factor-Model-Implementation:
Users that are interested in Fama-French-3-Factor-Model-Implementation are comparing it to the libraries listed below
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 months ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆25Updated 2 years ago
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 4 years ago
- ☆28Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆28Updated 10 months ago
- ☆68Updated 2 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆77Updated 7 months ago
- ☆17Updated 8 years ago
- quantitative asset allocation strategy☆22Updated last month
- Implementation of (Re-)Imag(in)ing Price Trends☆59Updated 2 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆78Updated 2 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆10Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆123Updated 3 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆51Updated 6 months ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Updated 3 years ago
- ☆9Updated 5 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- Python implementation of the Three Pass Regression Filter☆13Updated 4 years ago
- empirical asset pricing☆44Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆34Updated 2 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 4 years ago