lnsongxf / fecon235
Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometric…
☆14Updated 7 years ago
Alternatives and similar repositories for fecon235:
Users that are interested in fecon235 are comparing it to the libraries listed below
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆13Updated 4 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Replication of momentum strategy☆15Updated 2 years ago
- My replication of financial papers.☆18Updated 6 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆37Updated 7 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Factor Investing Library☆25Updated 2 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- ☆9Updated 4 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆22Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- ☆17Updated 8 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- ☆35Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆17Updated 2 years ago
- ☆20Updated 2 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated last month
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- This paper studies how a machine learning algorithm can generate tactical allocation which outperforms returns for a pre-defined benchmar…☆12Updated 4 years ago