charlesmalafosse / custom-factor-model
Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"
☆18Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for custom-factor-model
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 7 months ago
- ☆106Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆46Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆87Updated 6 months ago
- ☆38Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆141Updated last week
- A financial trading method using machine learning.☆58Updated last year
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆59Updated 4 years ago
- Research Repo (Archive)☆69Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆60Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆76Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆112Updated 10 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆119Updated 5 years ago
- ☆57Updated last year
- Baruch MFE 2019 Spring☆35Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Package to build risk model for factor pricing model☆24Updated 3 months ago
- ☆24Updated 6 years ago
- Time Series Prediction of Volume in LOB☆53Updated 7 months ago
- Notes on Advances in Financial Machine Learning☆76Updated 5 years ago
- AI based alpha research for trading☆46Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆45Updated 2 years ago
- Various python scripts to introduce mean reversion concepts.☆21Updated 6 years ago
- ☆18Updated 4 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆81Updated 3 years ago
- ☆46Updated 3 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆34Updated 2 years ago