RichardS0268 / Autoencoder-Asset-Pricing-ModelsLinks
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
☆135Updated 3 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
Sorting:
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆67Updated 2 months ago
- Implementation of (Re-)Imag(in)ing Price Trends☆80Updated 3 years ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆17Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆141Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆31Updated 3 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆45Updated last year
- 一个基于中国市场的Fama-French五因子实证研究☆39Updated 3 years ago
- Instrumented Principal Components Analysis☆243Updated 3 years ago
- ☆77Updated 2 years ago
- empirical asset pricing☆49Updated 2 years ago
- ☆38Updated 4 years ago
- ☆31Updated last year
- DCC GARCH modeling in Python☆100Updated 5 years ago
- Machine Learning-Driven Quantamental Investing☆140Updated 5 years ago
- Equity return and characteristics of China A-Share market☆24Updated last year
- An end-to-end stock factors mining neural network framework.☆47Updated 2 years ago
- Reproduce AAAI22-FactorVAE☆68Updated 2 years ago
- PyTorch implementation of FactorVAE☆86Updated last year
- Calculate U.S. equity (portfolio) characteristics☆103Updated last year
- 因子回测框架☆137Updated 2 years ago
- Implemented some mathematical processings used in the Barra risk model☆33Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆91Updated 4 years ago
- convertible bond pricing project based on Monte Carlo simulation☆15Updated 2 years ago
- This repo is the bundled opensource toolkit for book `Navigate through the Factor Zoo: The Science of Factor Investing`.☆85Updated 3 months ago
- Machine learning methods for identifing investment factors☆36Updated 3 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆140Updated last year
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆68Updated 7 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆71Updated 4 years ago
- ☆60Updated 2 years ago