kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-MarketView external linksLinks
Machine learning methods for identifing investment factors
☆19Nov 9, 2021Updated 4 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☆46Mar 1, 2024Updated last year
- Machine learning methods for identifing investment factors☆41Apr 20, 2022Updated 3 years ago
- A repository for machine learning based investment strategies☆28Nov 11, 2019Updated 6 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Mar 1, 2020Updated 5 years ago
- select stock automatically, trade manually☆12Jul 26, 2020Updated 5 years ago
- This is the repo accompanying the paper: "A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bit…☆12Jul 29, 2025Updated 6 months ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆14Oct 11, 2023Updated 2 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆34Feb 26, 2022Updated 3 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆14Sep 21, 2023Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆37Feb 9, 2023Updated 3 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Dec 30, 2020Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- 用SVM构建高频交易策略☆13Oct 21, 2019Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Jan 1, 2021Updated 5 years ago
- A first look into several time series datasets from quandl (namely top tech companies stock close prices) and an attempt to find patterns…☆16Mar 24, 2018Updated 7 years ago
- empirical asset pricing☆49Sep 23, 2023Updated 2 years ago
- https://arxiv.org/abs/1805.01104☆122Dec 2, 2020Updated 5 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆19Updated this week
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Dec 2, 2017Updated 8 years ago
- ☆21Oct 26, 2020Updated 5 years ago
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 6 years ago
- This project studies the intrinsic relationship between the stocks’ multiple factors and the investment value of the stocks listed in Chi…☆91Jul 1, 2021Updated 4 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Oct 16, 2022Updated 3 years ago
- A public available dataset for using market sentiment for financial asset allocation.☆23Feb 17, 2019Updated 7 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆23Dec 12, 2021Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Aug 9, 2024Updated last year
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆23Feb 14, 2020Updated 6 years ago
- A sentiment-driven trading system leveraging FinGPT for real-time financial news and social media sentiment extraction to enhance trading…☆38Dec 22, 2024Updated last year
- Second coursework & case from Sber Data Science competition. Links to scientific papers to which I will refer will be here.☆13Nov 12, 2021Updated 4 years ago
- ☆11May 17, 2024Updated last year
- A library of techniques for local interpretation of machine learning models☆10Mar 24, 2023Updated 2 years ago
- A research project and comparative study on various Active Noise Cancellation Algorithms like FxLMS, EMFN, Chebyshev filter and Hammerste…☆10Jul 3, 2022Updated 3 years ago
- ☆31Mar 22, 2022Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆33Oct 14, 2021Updated 4 years ago
- quantitative asset allocation strategy☆36Jan 19, 2025Updated last year
- ☆41Jan 22, 2019Updated 7 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Dec 5, 2022Updated 3 years ago