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:
- ☆18Updated 3 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆39Updated 3 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆25Updated 3 years ago
- Python implementation of the Three Pass Regression Filter☆14Updated 5 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 package to sort stocks into portfolios and calculate weighted-average returns.☆17Updated 3 years ago
- Classical Fama French Three Factor Model.☆23Updated 5 years ago
- 3D Tensor-based Deep Learning Models for Predicting Option Price☆21Updated 6 months ago
- The NLP News Sentiment Factor Trading Strategy for a Portfolio of S&P 500 Stocks☆12Updated 5 years ago
- Sentiment Analysis by Machine Learning, LSTM and BERT☆68Updated 2 years ago
- ☆20Updated 9 years 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…☆34Updated 4 years ago
- Machine learning methods for identifing investment factors☆19Updated 4 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
- ☆29Updated 2 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
- Reproduction of the paper "Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations"☆12Updated 2 years ago
- ☆21Updated 3 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆45Updated last year
- Fama French model on a subset of Canadian Equity data with Python☆50Updated 6 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆68Updated 3 months ago
- A repository for machine learning based investment strategies☆28Updated 6 years ago
- ☆55Updated 4 years ago
- A dataset of financial news is used to fine-tune BERT in order to extract investment opportunities.☆26Updated 4 years ago
- Campisi纯债型基金业绩归因模型程序，适用于中国市场，需要有Wind的API接口权限☆42Updated 2 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Updated 6 years ago
- For Chinese comments, the Finbert model was used to conduct polarity analysis and predict stock price rise☆24Updated 5 years ago
- DCC GARCH modeling in Python☆101Updated 5 years ago
- [ACL 2021-Findings] Implementation of "Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading."☆121Updated 4 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆75Updated 5 years ago