HoagieT / Inflation-Nowcast-ModelLinks
A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
☆15Updated 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☆39Updated 8 months ago
- quantitative asset allocation strategy☆32Updated 7 months 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 Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆20Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- ☆42Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 6 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- detecting regime of financial market☆40Updated 2 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆10Updated 6 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆12Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- Capstone Research Project in NYU Courant☆10Updated 5 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Q-quant和因子投资实证汇总☆22Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆20Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago