SiruiJi / ml4frm
Machine learning for financial risk management
☆22Updated last year
Alternatives and similar repositories for ml4frm
Users that are interested in ml4frm are comparing it to the libraries listed below
Sorting:
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆86Updated 4 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆59Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Code that I show on my YouTube Channel☆98Updated 2 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆42Updated last year
- ☆45Updated last year
- Replication of https://ssrn.com/abstract=3984925☆35Updated last year
- ☆81Updated 5 months ago
- Project that uses deep learning to forecast stock returns and defines the optimal allocation for a maximum☆22Updated 4 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆43Updated 4 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆99Updated 5 months ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆25Updated last month
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, est…☆26Updated 9 months ago
- This repository displays my work in finance and economics datascience for future employers and collaborators.☆10Updated 2 years ago
- DCC GARCH modeling in Python☆92Updated 5 years ago
- ☆29Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆35Updated 2 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆43Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆28Updated 5 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 4 years ago
- volatility arbitrage in Heston model☆50Updated last month