RichardS0268 / Autoencoder-Asset-Pricing-Models
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
☆87Updated 9 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
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated 11 months ago
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- ☆71Updated 2 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆59Updated 8 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆40Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆128Updated 3 years ago
- convertible bond pricing project based on Monte Carlo simulation☆11Updated last year
- DCC GARCH modeling in Python☆92Updated 5 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- empirical asset pricing☆45Updated last year
- Equity return and characteristics of China A-Share market☆18Updated last year
- This repository hosts my reading notes for academic papers.☆83Updated 3 years ago
- Implementation of (Re-)Imag(in)ing Price Trends☆69Updated 2 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆23Updated 3 years ago
- ☆30Updated 4 years ago
- Reproduce AAAI22-FactorVAE☆60Updated last year
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Implemented some mathematical processings used in the Barra risk model☆27Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- ☆28Updated last year
- Machine Learning-Driven Quantamental Investing☆130Updated 4 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- ☆58Updated last year
- PyTorch implementation of FactorVAE☆66Updated 5 months ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Instrumented Principal Components Analysis☆226Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆89Updated 6 years ago