RichardS0268 / Autoencoder-Asset-Pricing-ModelsLinks
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
☆96Updated last week
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:
- Implementation of (Re-)Imag(in)ing Price Trends☆73Updated 3 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆63Updated last year
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆45Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆135Updated 4 years ago
- PyTorch implementation of FactorVAE☆78Updated 9 months ago
- ☆35Updated 4 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Reproduce AAAI22-FactorVAE☆66Updated last year
- Calculate U.S. equity (portfolio) characteristics☆95Updated last year
- empirical asset pricing☆47Updated last year
- ☆73Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆88Updated 4 years ago
- Instrumented Principal Components Analysis☆232Updated 3 years ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- ☆29Updated last year
- Machine Learning-Driven Quantamental Investing☆134Updated 5 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆26Updated 3 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated last year
- Machine learning methods for identifing investment factors☆25Updated 3 years ago
- High frequency factors based on order and trade data.☆59Updated last year
- 因子回测框架☆125Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆188Updated 2 years ago
- convertible bond pricing project based on Monte Carlo simulation☆13Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- Papers for AI + quantitative investment☆126Updated 11 months ago