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☆38Updated 7 months ago
- quantitative asset allocation strategy☆32Updated 6 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 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
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Fit hidden Markov model to stock returns and backtest strategy with hidden volatility regime filter☆11Updated 6 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- ☆42Updated 2 years ago
- detecting regime of financial market☆39Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆33Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- ☆24Updated 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…☆19Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Fama-French models, idiosyncratic volatility, event study☆33Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆23Updated last year
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 5 months ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago