TianyuDu / AnnEconForecast
Artificial Neural Networks in Economic Forecasting (ANNEF)
☆8Updated 4 years ago
Related projects: ⓘ
- ☆28Updated 3 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 6 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Portfolio optimization with cvxopt☆14Updated last year
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- My replication of financial papers.☆17Updated 6 years ago
- ☆18Updated 2 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆26Updated 3 years ago
- Composite Indicators Framework for Business Cycle Analysis☆56Updated 2 years ago
- ☆18Updated this week
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆60Updated 2 years ago
- 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
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆24Updated 7 years ago
- ☆22Updated 8 years ago
- Python programs for constructing various economic datasets☆50Updated 5 months ago
- https://arxiv.org/abs/1805.01104☆106Updated 3 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated last year
- Fama French model on a subset of Canadian Equity data with Python☆44Updated 5 years ago
- Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.☆60Updated 8 months ago
- Quantifying ESG Alpha using Scholar Big Data: An Automated Machine Learning Approach.☆66Updated 3 years ago
- Value and Momentum Using Machine Learning☆11Updated 3 years ago
- Modelling Connectedness of Firms in Financial Markets with Heterogeneous Agents☆20Updated 5 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆24Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆34Updated 3 years ago
- Network Analysis for Financial Markets☆73Updated 7 years ago
- LSTM neural networks for nowcasting economic data.☆56Updated 4 months ago
- ☆19Updated 2 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆59Updated last month