VincentGaoHJ / Fama-French-3-Factor-ModelLinks
Applying the Fama Three-factor Model to the Chinese stock market. Verifying the validity of the model. The operation of the data is mainly based on pandas.
☆21Updated 6 years ago
Alternatives and similar repositories for Fama-French-3-Factor-Model
Users that are interested in Fama-French-3-Factor-Model are comparing it to the libraries listed below
Sorting:
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆25Updated 3 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆17Updated 3 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 3 years ago
- ☆18Updated 3 years ago
- This repository contains dataset for paper FedNLP: An interpretable NLP System to Decode Federal Reserve Communications, published in SIG…☆14Updated last year
- a python module and user interface of a user-defined Barra risk model☆11Updated 6 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Updated 5 years ago
- Python implementation of the Three Pass Regression Filter☆14Updated 5 years ago
- Classical Fama French Three Factor Model.☆22Updated 5 years ago
- 3D Tensor-based Deep Learning Models for Predicting Option Price☆20Updated 4 months ago
- It is a project that conducts a study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual…☆33Updated 4 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆17Updated 6 years ago
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆23Updated 7 years ago
- ☆59Updated 5 years ago
- Machine Learning-Driven Quantamental Investing☆139Updated 5 years ago
- This repository relates to the paper "Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Oppor…☆22Updated 4 years ago
- The official repository for paper Evaluating Financial Relational Graphs: Interpretation Before Prediction☆17Updated 9 months ago
- Sentiment Analysis by Machine Learning, LSTM and BERT☆68Updated 2 years ago
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 5 years ago
- Repository for "StockEmotions: Discover Investor Emotions for Financial Sentiment Analysis and Multivariate Time Series" accepted by AAAI…☆84Updated last year
- A dataset of financial news is used to fine-tune BERT in order to extract investment opportunities.☆25Updated 4 years ago
- Reproduction of the paper "Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations"☆12Updated 2 years ago
- ☆19Updated 4 years ago
- 📈 A neural network regression model trained to predict the mean stock price percentage change everyday using financial factors like pre…☆52Updated 7 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- ☆54Updated 3 years ago
- For Chinese comments, the Finbert model was used to conduct polarity analysis and predict stock price rise☆24Updated 4 years ago
- 基于QFactor模型的A股实证研究☆19Updated 6 years ago
- Try to implement Hybrid Attention Net mentioned in 'Listening to Chaotic Whispers'☆11Updated 4 years ago
- ☆38Updated last year