gregyjames / CAPMLinks
Capital Asset Pricing Model implementation in python to analyze stock risk and return.
☆26Updated 4 years ago
Alternatives and similar repositories for CAPM
Users that are interested in CAPM are comparing it to the libraries listed below
Sorting:
- ☆25Updated 7 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 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
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆72Updated 2 years ago
- ☆65Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Repository for teachings on Quant Finance☆50Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- keywords - Kmeans Clustering, Tsne, PCA, Indian Stocks, Johansen test☆32Updated 7 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months 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
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆59Updated 9 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Updated 6 years ago
- Design your own Trading Strategy☆38Updated last year
- My replication of financial papers.☆20Updated 7 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Updated 4 years ago
- Quantitative Finance using python - Derivatives Pricing☆47Updated 7 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 11 months ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Updated 7 years ago