RyanLucas3 / MacroRandomForest
A modification of traditional random forest for time-series forecasting
☆12Updated 9 months ago
Alternatives and similar repositories for MacroRandomForest:
Users that are interested in MacroRandomForest are comparing it to the libraries listed below
- ☆20Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 2 months ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- ☆17Updated 8 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- ☆9Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆10Updated last year
- Underlying package for the 10-line cta☆10Updated this week
- Portfolio optimization with cvxopt☆24Updated this week
- ☆23Updated this week
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 months ago
- Alpha model skeletons & examples☆11Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 8 months ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆12Updated 4 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Statistical tests for Value at Risk (VaR) Models.☆14Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 3 months ago
- ☆63Updated this week
- My replication of financial papers.☆18Updated 6 years ago
- ☆22Updated this week
- ☆26Updated 4 months ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆9Updated last year