VincentGaoHJ / Fama-French-3-Factor-Model
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.
☆18Updated 5 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
- 一个基于中国市场的Fama-French五因子实证研究☆34Updated 2 years ago
- Machine Learning for Finance: 2019-20 Module 3 (Spring 2020)☆67Updated 8 months 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。☆21Updated 6 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- 多因子模型相关☆22Updated 3 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 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 …☆13Updated 5 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆16Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- 一些研报的复现☆12Updated 6 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 months ago
- Financial research data services for academics.☆87Updated last week
- DCC GARCH modeling in Python☆88Updated 5 years ago
- ☆9Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Implementation of 5-factor Fama French Model☆117Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- 获取经典的量化多因子模型数据☆65Updated 3 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆30Updated 4 years ago
- 中国的Quant相关资源索引☆9Updated 5 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆51Updated 5 months ago
- Python implementation of the Three Pass Regression Filter☆13Updated 4 years ago
- Fama-French models, idiosyncratic volatility, event study☆29Updated 2 years ago
- 量化FOF框架☆12Updated 5 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆15Updated 5 months ago
- Machine learning methods for identifing investment factors☆15Updated 3 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆74Updated 6 months ago
- TensorFlow implementation of Z. Hu et al. "Listening to Chaotic Whispers: A Deep Learning Framework for News-oriented Stock Trend Predict…☆29Updated 4 months ago