Feng-CityUHK / EquityCharacteristics
Calculate U.S. equity (portfolio) characteristics
☆82Updated 3 months ago
Related projects ⓘ
Alternatives and complementary repositories for EquityCharacteristics
- ☆65Updated last year
- Empirical Data and Some Simulation Codes☆99Updated 5 years ago
- Machine learning methods for identifing investment factors☆18Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆119Updated 3 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆254Updated last week
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆29Updated last year
- empirical asset pricing☆41Updated last year
- ☆25Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆68Updated 4 months ago
- DCC GARCH modeling in Python☆86Updated 4 years ago
- ☆23Updated 11 months ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆13Updated 4 years ago
- Instrumented Principal Components Analysis☆205Updated 2 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 3 months ago
- ☆101Updated 2 years ago
- Financial research data services for academics.☆78Updated 2 months ago
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- Python Nowcasting☆119Updated 3 years ago
- https://arxiv.org/abs/1805.01104☆107Updated 3 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated 11 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆24Updated 8 years ago
- ☆23Updated 7 years ago
- Equity return and characteristics of China A-Share market☆13Updated 11 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆32Updated 8 months ago
- qmoms package to compute option-implied moments from surface data☆15Updated 6 months ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago