hrbzkm98 / ml-researchLinks
A repository for machine learning based investment strategies
☆27Updated 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
Sorting:
- Empirical asset pricing via Machine Learning in the Korean market☆38Updated last year
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- ☆70Updated 2 years 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
- ☆33Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆91Updated 10 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- Empirical Data and Some Simulation Codes☆102Updated 6 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆32Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆132Updated 3 years ago
- ☆28Updated 4 years ago
- ☆27Updated last year
- Replication of https://ssrn.com/abstract=3984925☆38Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆93Updated 11 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 2 weeks ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 3 months ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 4 years ago
- Codebase for FOMC-NLP, accepted at ACL 2023 (main)☆59Updated 6 months ago