Jianeng / Deep-Learning-in-Asset-PricingLinks
https://arxiv.org/abs/1805.01104
☆122Updated 5 years ago
Alternatives and similar repositories for Deep-Learning-in-Asset-Pricing
Users that are interested in Deep-Learning-in-Asset-Pricing are comparing it to the libraries listed below
Sorting:
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆144Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- ☆78Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Financial research data services for academics.☆98Updated 4 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 7 months ago
- Deep learning for forecasting company fundamental data☆141Updated 6 years ago
- ☆55Updated 5 months ago
- A framework for financial systemic risk valuation and analysis.☆176Updated 3 years ago
- Instrumented Principal Components Analysis☆245Updated 3 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- DCC GARCH modeling in Python☆101Updated 5 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆75Updated 5 years ago
- Design of Risk Parity Portfolios☆117Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Website dedicated to a book on machine learning for factor investing☆237Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- My replication of financial papers.☆20Updated 7 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- NYU Tandon lecture slides☆32Updated 6 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆99Updated last year
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- HAR-RV Model For Realized Volatility☆32Updated 9 years ago