hrbzkm98 / ml-research
A repository for machine learning based investment strategies
☆28Updated 5 years ago
Alternatives and similar repositories for ml-research:
Users that are interested in ml-research are comparing it to the libraries listed below
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆40Updated 4 years ago
- ☆71Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 8 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- ☆30Updated 4 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- ☆28Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆34Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆27Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- ☆36Updated 2 months ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆87Updated 9 months ago
- Replication of momentum strategy☆18Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆128Updated 3 years ago
- ☆27Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- DCC GARCH modeling in Python☆92Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆14Updated 4 years ago
- https://arxiv.org/abs/1805.01104☆112Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago