kristina969 / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
Machine learning methods for identifing investment factors
☆18Updated 2 years ago
Alternatives and similar repositories for Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market:
Users that are interested in Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market are comparing it to the libraries listed below
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- ☆68Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 months ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- ☆28Updated 4 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆77Updated 7 months ago
- empirical asset pricing☆44Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- Equity return and characteristics of China A-Share market☆14Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆123Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆51Updated 6 months ago
- ☆50Updated 7 years ago
- BSc Thesis on the Garch-Midas model☆24Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆81Updated 3 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆10Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago