JustinMShea / ExpectedReturns
☆47Updated 8 months ago
Alternatives and similar repositories for ExpectedReturns:
Users that are interested in ExpectedReturns are comparing it to the libraries listed below
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆49Updated 6 years ago
- ☆72Updated 4 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Realized Volatility Forecasting modeling☆15Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Factor Investing Library☆26Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Replication of https://ssrn.com/abstract=3984925☆33Updated last year
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 3 years ago
- ☆71Updated 2 years ago
- https://arxiv.org/abs/1805.01104☆112Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆38Updated 9 months ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆69Updated last month
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆154Updated last year
- My replication of financial papers.☆19Updated 6 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months 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