bkelly-lab / ipca
Instrumented Principal Components Analysis
☆215Updated 2 years ago
Alternatives and similar repositories for ipca:
Users that are interested in ipca are comparing it to the libraries listed below
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆278Updated 3 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆123Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- ☆68Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆116Updated last year
- Deep Learning Statistical Arbitrage☆215Updated 2 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆77Updated 7 months ago
- ☆28Updated 4 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- Python library for asset pricing☆111Updated 11 months ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆126Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆152Updated last month
- Example code of simple things one can do with our open-source asset pricing data☆52Updated 5 months ago
- https://arxiv.org/abs/1805.01104☆110Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆181Updated 4 years ago
- Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"☆788Updated 3 weeks ago
- ☆69Updated 4 years ago
- DCC GARCH modeling in Python☆89Updated 5 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆141Updated 8 months ago
- Website dedicated to a book on machine learning for factor investing☆214Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆153Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆57Updated last month
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆83Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆116Updated 6 years ago
- Implementation of 5-factor Fama French Model☆118Updated 3 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆114Updated 4 years ago
- This repository hosts my reading notes for academic papers.☆81Updated 3 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆179Updated 2 months ago
- PyTorch-based framework for Deep Hedging☆268Updated 5 months ago