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:
- Backtesting the thesis paper entitled: Trading volatility Trading strategies based on the VIX term structure☆30Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated last month
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 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'.☆37Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆39Updated last year
- Quant Invest Lab is a project aimed to provide a set of basic tools for quantitative experiments. By quantitative experiment I mean tryin…☆29Updated last year
- ☆141Updated 2 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated 10 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- ☆47Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- ☆77Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- 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
- Fama French model on a subset of Canadian Equity data with Python☆49Updated 6 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…☆64Updated 7 months ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆28Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆73Updated 5 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- Financial Portfolio Optimization Algorithms☆59Updated last year
- ☆73Updated 5 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