Silkdust / mlfactor-pythonLinks
Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust
☆12Updated 2 years ago
Alternatives and similar repositories for mlfactor-python
Users that are interested in mlfactor-python are comparing it to the libraries listed below
Sorting:
- Q-quant和因子投资实证汇总☆23Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆13Updated 2 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- ☆24Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆14Updated 4 years ago
- 雪球结构产品定价☆29Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- ☆11Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- my first factor-stock-selecting backtest function☆22Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆28Updated 3 years ago
- quantitative asset allocation strategy☆34Updated 11 months ago
- A trading algorithm utilizing a Naive Bayes classifier to predict expected returns, GARCH (1,1) volatility forecasting, and the Markowitz…☆10Updated 8 years ago
- ☆12Updated 4 years ago
- 量化研究-多因子模型☆23Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆31Updated 6 years ago
- ☆24Updated 5 years ago
- ☆25Updated 7 years ago
- 多因子选股框架☆27Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago