blaahhrrgg / equity-risk-modelLinks
Attribution and optimisation using a multi-factor equity risk model.
☆31Updated last year
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☆89Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆42Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆46Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- Predictive yield curve modeling in reduced dimensionality☆41Updated 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
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Research Repo (Archive)☆74Updated 4 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…☆67Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Implementation of a variety of Value-at-Risk backtests☆38Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆23Updated 3 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆40Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆36Updated 6 months ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆46Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago