blaahhrrgg / equity-risk-modelLinks
Attribution and optimisation using a multi-factor equity risk model.
☆35Updated 2 years ago
Alternatives and similar repositories for equity-risk-model
Users that are interested in equity-risk-model are comparing it to the libraries listed below
Sorting:
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- ☆52Updated 2 years ago
- quantitative asset allocation strategy☆34Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Research Repo (Archive)☆75Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- detecting regime of financial market☆44Updated 3 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆54Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆44Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 11 months ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Updated 6 years ago
- ☆42Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Python Code for Quantitative Finance Papers☆45Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago