gregyjames / CAPMLinks
Capital Asset Pricing Model implementation in python to analyze stock risk and return.
☆26Updated 3 years ago
Alternatives and similar repositories for CAPM
Users that are interested in CAPM are comparing it to the libraries listed below
Sorting:
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆68Updated 6 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆58Updated 8 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆47Updated 3 years 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
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- ☆64Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- ☆25Updated 7 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆121Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆56Updated 4 years ago
- Design your own Trading Strategy☆39Updated last year
- keywords - Kmeans Clustering, Tsne, PCA, Indian Stocks, Johansen test☆32Updated 7 years ago
- Quantitative Momentum - Investment Strategy inspired by Wesley Gray and Jack Vogel☆41Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆42Updated 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
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 6 months ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- ☆18Updated 7 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
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Updated 4 years ago
- ☆40Updated 4 years ago