Instrumented Principal Components Analysis
☆266Aug 15, 2022Updated 3 years ago
Alternatives and similar repositories for ipca
Users that are interested in ipca are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆378May 29, 2026Updated last month
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆149Aug 17, 2025Updated 11 months ago
- ☆82Dec 22, 2022Updated 3 years ago
- Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"☆1,012Oct 22, 2025Updated 9 months ago
- Random Forest-based "Correlation" measures☆15May 3, 2022Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆151Jul 17, 2021Updated 5 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- ☆41Feb 10, 2021Updated 5 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆21Dec 21, 2023Updated 2 years ago
- https://arxiv.org/abs/1805.01104☆124Dec 2, 2020Updated 5 years ago
- Deep Learning Statistical Arbitrage☆262Oct 5, 2022Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆113Aug 9, 2024Updated last year
- Q-quant和因子投资实证汇总☆24Jul 5, 2021Updated 5 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆55Oct 24, 2024Updated last year
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Website dedicated to a book on machine learning for factor investing☆254Jul 17, 2023Updated 3 years ago
- Replication of momentum strategy☆21Jun 14, 2022Updated 4 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52May 19, 2020Updated 6 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆22Aug 8, 2022Updated 3 years ago
- ☆15Mar 22, 2022Updated 4 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆13Apr 12, 2023Updated 3 years ago
- Equity return and characteristics of China A-Share market☆33Dec 21, 2023Updated 2 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆19Jul 24, 2022Updated 4 years ago
- End-to-end solution to process TRACE corporate bond data.☆53Mar 23, 2026Updated 4 months ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- In-depth walkthrough of Pipeline, an API for filtering and performing computations on large universes of securities. The Pipeline API is …☆11Apr 23, 2024Updated 2 years ago
- Empirical Data and Some Simulation Codes☆115Jun 24, 2019Updated 7 years ago
- Empirical Asset Pricing Tools☆58Apr 19, 2026Updated 3 months ago
- Imputing missing stock anomalies data with EM implementation☆15Feb 19, 2024Updated 2 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆274Mar 19, 2026Updated 4 months ago
- ☆36Apr 8, 2026Updated 3 months ago
- ☆28Dec 15, 2023Updated 2 years ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆20May 23, 2021Updated 5 years ago
- 🔬 A collection for those AI (RL / DL / SL / Evoluation / Genetic Algorithm) used in financial market. otherwise, we add Technology Analy…☆10May 18, 2019Updated 7 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated 2 years ago
- the codes and some preliminary progress in the work of robust stochastic portfolio optimization☆11Oct 15, 2020Updated 5 years ago
- Additional linear models including instrumental variable and panel data models that are missing from statsmodels.☆1,056Updated this week
- Measuring the Market Risk Premium☆18Mar 30, 2026Updated 3 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆37May 26, 2024Updated 2 years ago
- ☆216Mar 29, 2023Updated 3 years ago
- ☆16Sep 5, 2020Updated 5 years ago