dkyol / Asset-Pricing-ModelLinks
PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
☆42Updated 5 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
Sorting:
- ☆70Updated 2 years ago
- ☆33Updated 4 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆93Updated 11 months ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated last year
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆13Updated last year
- Empirical asset pricing via Machine Learning in the Korean market☆38Updated last year
- Implementation of (Re-)Imag(in)ing Price Trends☆72Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆132Updated 3 years ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Reproduce AAAI22-FactorVAE☆63Updated last year
- Calculate U.S. equity (portfolio) characteristics☆91Updated 10 months ago
- DCC GARCH modeling in Python☆94Updated 5 years ago
- Replication of https://ssrn.com/abstract=3984925☆38Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆17Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- A repository for machine learning based investment strategies☆27Updated 5 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 4 years ago
- ☆20Updated 6 months ago
- ☆27Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆60Updated 10 months ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆18Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 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
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆77Updated last year