leeway00 / Asset-Pricing-via-MLLinks
Empirical asset pricing via Machine Learning in the Korean market
☆39Updated last year
Alternatives and similar repositories for Asset-Pricing-via-ML
Users that are interested in Asset-Pricing-via-ML are comparing it to the libraries listed below
Sorting:
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆91Updated 10 months ago
- Calculate U.S. equity (portfolio) characteristics☆90Updated 9 months ago
- ☆70Updated 2 years ago
- Equity return and characteristics of China A-Share market☆19Updated last year
- ☆32Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- empirical asset pricing☆45Updated last year
- DCC GARCH modeling in Python☆93Updated 5 years ago
- Replication of https://ssrn.com/abstract=3984925☆37Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆129Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆13Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- convertible bond pricing project based on Monte Carlo simulation☆12Updated last year
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 2 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
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- Calibration and Simulation Engine for Local Volatility Models☆10Updated 3 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- ☆18Updated 8 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆14Updated 3 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆86Updated 3 years ago