SiruiJi / ml4frm
Machine learning for financial risk management
☆16Updated 10 months ago
Related projects ⓘ
Alternatives and complementary repositories for ml4frm
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- DCC GARCH modeling in Python☆86Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Project that uses deep learning to forecast stock returns and defines the optimal allocation for a maximum☆20Updated 3 years ago
- Code that I show on my YouTube Channel☆91Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- ☆66Updated 3 years ago
- ☆18Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆15Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 years ago
- ☆64Updated last year
- ☆18Updated 6 years ago
- ☆15Updated 6 years ago
- ☆31Updated last year
- DCC-GARCH(1,1) for multivariate normal distribution.☆58Updated last year
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 6 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆73Updated 2 years ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆28Updated 5 years ago
- empirical asset pricing☆40Updated last year