dkyol / Asset-Pricing-Model
PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
☆40Updated 4 years ago
Alternatives and similar repositories for Asset-Pricing-Model:
Users that are interested in Asset-Pricing-Model are comparing it to the libraries listed below
- ☆71Updated 2 years ago
- ☆30Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated 11 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆87Updated 9 months ago
- DCC GARCH modeling in Python☆92Updated 5 years ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Reproduce AAAI22-FactorVAE☆60Updated last year
- Replication of https://ssrn.com/abstract=3984925☆34Updated last year
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Implementation of (Re-)Imag(in)ing Price Trends☆69Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆128Updated 3 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆13Updated last year
- ☆27Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆68Updated 3 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- ☆17Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆14Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆59Updated 8 months ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago