Quantactix / ChinaAShareEquityCharacteristicsLinks
Equity return and characteristics of China A-Share market
☆25Updated 2 years ago
Alternatives and similar repositories for ChinaAShareEquityCharacteristics
Users that are interested in ChinaAShareEquityCharacteristics are comparing it to the libraries listed below
Sorting:
- empirical asset pricing☆49Updated 2 years ago
- Imputing missing stock anomalies data with EM implementation☆15Updated last year
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- ☆78Updated 3 years ago
- 量化研究-多因子模型☆23Updated 2 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆137Updated 4 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆46Updated last year
- Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"☆10Updated last year
- 计算Barra因子及其收益率☆13Updated 3 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆69Updated 3 months ago
- Q-quant和因子投资实证汇总☆23Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆144Updated 4 years ago
- Machine Learning-Driven Quantamental Investing☆141Updated 5 years ago
- Empirical Data and Some Simulation Codes☆109Updated 6 years ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- 雪球结构产品定价☆29Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- Implemented some mathematical processings used in the Barra risk model☆35Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆20Updated 10 months ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- DCC GARCH modeling in Python☆101Updated 6 years ago
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- Data Science Project: Replication of "Forest Through the Trees: Building Cross-Sections of Stock Returns" - creation of assets to test va…☆24Updated 2 years ago
- Calibration and Simulation Engine for Local Volatility Models☆13Updated 4 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆36Updated 2 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Updated 6 years ago
- This repository hosts my reading notes for academic papers.☆96Updated 4 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆21Updated last year