kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-MarketLinks
Machine learning methods for identifing investment factors
☆17Updated 3 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
Sorting:
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Machine learning methods for identifing investment factors☆24Updated 3 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆63Updated 11 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆44Updated 5 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- A repository for machine learning based investment strategies☆27Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- quantitative asset allocation strategy☆32Updated 6 months ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- ☆71Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆13Updated last year
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoenc…☆16Updated last year
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 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
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆96Updated last year
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- Implementation of (Re-)Imag(in)ing Price Trends☆73Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Equity return and characteristics of China A-Share market☆20Updated last year
- 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
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Multi-Factor model with regression method☆9Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year