YangShuiShui / Article-Reproduce-Emperical-Asset-Pricing-via-Machine-Learning-RFS2020
RFS2020年论文Emperical asset pricing via machine learning复现
☆20Updated 2 years ago
Alternatives and similar repositories for Article-Reproduce-Emperical-Asset-Pricing-via-Machine-Learning-RFS2020:
Users that are interested in Article-Reproduce-Emperical-Asset-Pricing-via-Machine-Learning-RFS2020 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
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆77Updated 7 months ago
- Machine learning methods for identifing investment factors☆18Updated 2 years ago
- ☆57Updated last year
- 因子回测框架☆102Updated last year
- empirical asset pricing☆44Updated last year
- ☆25Updated last year
- DCC GARCH modeling in Python☆90Updated 5 years ago
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- Machine Learning-Driven Quantamental Investing☆127Updated 4 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型;python☆30Updated 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☆39Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆51Updated 6 months ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 months ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- ☆68Updated 2 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- 计算Barra因子及其收益率☆11Updated 2 years ago
- Equity return and characteristics of China A-Share market☆14Updated last year
- 因子构建、单因子测试☆69Updated 3 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆123Updated 3 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 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
- Barra Multifactor Model☆136Updated 4 years ago
- ☆28Updated 4 years ago
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆31Updated 2 years ago