QuantLet / EmbeddingPortfolioLinks
A repository for portfolio allocation based on embedding data representation
☆12Updated 10 months ago
Alternatives and similar repositories for EmbeddingPortfolio
Users that are interested in EmbeddingPortfolio are comparing it to the libraries listed below
Sorting:
- ☆19Updated 8 years ago
- ☆22Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- A modification of traditional random forest for time-series forecasting☆12Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- ☆24Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆12Updated 2 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- ☆12Updated last year
- quantitative asset allocation strategy☆34Updated 10 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- ☆68Updated 5 months ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- ☆12Updated 2 years ago