PHBS / MLF
Machine Learning for Finance: 2019-20 Module 3 (Spring 2020)
☆70Updated 10 months ago
Alternatives and similar repositories for MLF:
Users that are interested in MLF are comparing it to the libraries listed below
- PHBS Stochastic Finance Course Website☆29Updated last year
- PHBS Research Methodology (for Quant Finance and Fintech) Course Website☆31Updated last year
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- ☆16Updated 8 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated 11 months ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 6 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- 多因子模型相关☆21Updated 3 years ago
- Machine Learning-Driven Quantamental Investing☆127Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- Barra-Multiple-factor-risk-model☆136Updated 7 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- Empirical Data and Some Simulation Codes☆102Updated 5 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 4 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- ☆13Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 2 years ago
- Equity return and characteristics of China A-Share market☆14Updated last year
- 根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现☆22Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆86Updated 6 years ago
- ☆70Updated 2 years ago
- ☆18Updated 8 years ago
- Barra Multifactor Model☆139Updated 5 years ago