kristina969 / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
Machine learning methods for identifing investment factors
☆14Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆31Updated 8 months ago
- Machine learning methods for identifing investment factors☆14Updated 3 years ago
- ☆63Updated last year
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆67Updated 4 months ago
- Equity return and characteristics of China A-Share market☆13Updated 10 months ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Empirical Data and Some Simulation Codes☆97Updated 5 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆13Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆117Updated 3 years ago
- A repository for machine learning based investment strategies☆28Updated 4 years ago
- ☆25Updated 3 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 &…☆11Updated 3 years ago
- DCC GARCH modeling in Python☆85Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆21Updated 2 years ago
- empirical asset pricing☆39Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆23Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆43Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆43Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆18Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 3 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆42Updated 3 months ago
- Multivariate DCC-GARCH model☆14Updated 6 years ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆15Updated 5 months ago
- This repository hosts my reading notes for academic papers.☆76Updated 3 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- ☆23Updated 10 months ago