ZhuZhouFan / CQVAE
This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoencoder".
☆15Updated 5 months ago
Related projects ⓘ
Alternatives and complementary repositories for CQVAE
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆68Updated 4 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Equity return and characteristics of China A-Share market☆13Updated 11 months ago
- Implementation of (Re-)Imag(in)ing Price Trends☆45Updated 2 years ago
- Reproduce AAAI22-FactorVAE☆55Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆43Updated 3 months ago
- ☆64Updated last year
- PyTorch implementation of FactorVAE☆51Updated 2 months ago
- DCC GARCH modeling in Python☆86Updated 4 years ago
- Machine learning methods for identifing investment factors☆17Updated 2 years ago
- The official implementation of the paper "MTMD: Multi-Scale Temporal Memory Learning and Efficient Debiasing Framework for Stock Trend Fo…☆28Updated 9 months ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆15Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆31Updated 8 months ago
- Machine learning methods for identifing investment factors☆14Updated 3 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆15Updated 2 years ago
- ☆25Updated 3 years ago
- dynamic copula dcc garch estimate bank systematic risk☆15Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆13Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated last year
- 一个基于中国市场的Fama-French五因子实证研究☆32Updated 2 years ago
- empirical asset pricing☆40Updated last year
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- ☆49Updated 2 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆27Updated 3 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago