Pangjing-Wu / market-style-rotation-analysis
Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.
☆26Updated 3 years ago
Alternatives and similar repositories for market-style-rotation-analysis:
Users that are interested in market-style-rotation-analysis are comparing it to the libraries listed below
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆29Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆38Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆34Updated 11 months ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 5 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 6 months ago
- ☆26Updated 8 months ago
- Financial Portfolio Optimization Algorithms☆55Updated 10 months ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆41Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated last month
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Applying Differential Machine Learning to Calibrate Heston Model☆17Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆42Updated last month
- Fama French model on a subset of Canadian Equity data with Python☆46Updated 6 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- ☆40Updated 4 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆27Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆22Updated 2 years ago