RichardS0268 / Autoencoder-Asset-Pricing-Models
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
☆80Updated 8 months ago
Alternatives and similar repositories for Autoencoder-Asset-Pricing-Models:
Users that are interested in Autoencoder-Asset-Pricing-Models are comparing it to the libraries listed below
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆56Updated 7 months ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated 9 months ago
- Machine learning methods for identifing investment factors☆19Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆126Updated 3 years ago
- ☆70Updated 2 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆39Updated 4 years ago
- Equity return and characteristics of China A-Share market☆14Updated last year
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated last year
- ☆28Updated 4 years ago
- Implementation of (Re-)Imag(in)ing Price Trends☆63Updated 2 years ago
- empirical asset pricing☆45Updated last year
- RFS2020年论文Emperical asset pricing via machine learning复现☆21Updated 3 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- convertible bond pricing project based on Monte Carlo simulation☆11Updated last year
- ☆28Updated last year
- Reproduce AAAI22-FactorVAE☆59Updated last year
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Empirical Data and Some Simulation Codes☆102Updated 5 years ago
- Machine Learning-Driven Quantamental Investing☆127Updated 4 years ago
- Instrumented Principal Components Analysis☆219Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆26Updated last year
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- PyTorch implementation of FactorVAE☆62Updated 4 months ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆32Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆82Updated 3 years ago
- ☆57Updated last year
- ☆12Updated 3 years ago