HoagieT / Inflation-Nowcast-ModelLinks
A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
☆16Updated 4 years ago
Alternatives and similar repositories for Inflation-Nowcast-Model
Users that are interested in Inflation-Nowcast-Model are comparing it to the libraries listed below
Sorting:
- Implements different approaches to tactical and strategic asset allocation☆41Updated 10 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 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 4 years ago
- quantitative asset allocation strategy☆33Updated 9 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆14Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆12Updated 7 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆23Updated 4 years ago
- ☆47Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 8 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆15Updated 2 years ago
- Machine learning methods for identifing investment factors☆19Updated 4 years ago
- DCC GARCH modeling in Python☆98Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- detecting regime of financial market☆41Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆17Updated 6 years ago
- ☆77Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago