fischlerben / Algorithmic-Trading-ProjectLinks
Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio returns. The respective factors are used as features in a Machine Learning model and portfolio results are evaluated and compared.
☆30Updated 4 years ago
Alternatives and similar repositories for Algorithmic-Trading-Project
Users that are interested in Algorithmic-Trading-Project are comparing it to the libraries listed below
Sorting:
- Predictive yield curve modeling in reduced dimensionality☆44Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆84Updated 3 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- ☆41Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 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
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 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
- Portfolio optimization using Genetic algorithm.☆60Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆29Updated 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
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆35Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated 7 months ago
- On this repository you'll find tools used for Quantitative Analysis and some examples such: MonteCarlo Simulations, Linear Regression, Ge…☆27Updated 2 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆51Updated last year
- Quant Research☆86Updated last week
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- ☆64Updated 2 years ago
- ☆18Updated 7 years ago
- CS7641 Team project☆97Updated 5 years ago
- ☆46Updated last year
- Design your own Trading Strategy☆39Updated last year