RobertYip / Python-Fama-French-Quant-modelLinks
Fama French model on a subset of Canadian Equity data with Python
☆48Updated 6 years ago
Alternatives and similar repositories for Python-Fama-French-Quant-model
Users that are interested in Python-Fama-French-Quant-model are comparing it to the libraries listed below
Sorting:
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 2 months ago
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- Multivariate Markov-Switching Models Regressions Framework☆12Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 5 months ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆46Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆23Updated 3 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆35Updated last year
- alpha-RNN☆30Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- ☆42Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- Material for QuantUniversity talk on Sythetic Data Generation for Finance.☆114Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- ☆73Updated 3 years ago
- Financial Portfolio Optimization Algorithms☆57Updated last year