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:
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- ☆24Updated 6 years ago
- ☆18Updated 8 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 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
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆45Updated 3 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆52Updated 4 years ago
- ☆41Updated 4 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆36Updated 6 months ago
- ☆17Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Design your own Trading Strategy☆38Updated last year
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆42Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago