Pangjing-Wu / market-style-rotation-analysisLinks
Code of paper "Stock Price Prediction Incorporating Market Style Clustering" published in Cognitive Computation.
☆26Updated 4 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
Sorting:
- ☆79Updated 4 years ago
- Portfolio optimization with cvxopt☆40Updated 10 months ago
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆30Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- ☆47Updated 2 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆120Updated last month
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 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…☆30Updated last year
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆40Updated last year
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- ☆141Updated 2 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Using Dask, a Python framework, I handle 900 million rows of S&P E-mini futures trade tick data directly on a local machine. Through expl…☆41Updated last year
- Python library for asset pricing☆125Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- The code used for the free quants@dev Webinar series on Reinforcement Learning in Finance☆104Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated last year
- 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…☆64Updated 8 months ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Updated 5 years ago
- Quant Research☆95Updated 3 weeks ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago