mfrdixon / Deep_Fundamental_FactorsLinks
Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
☆62Updated 2 years ago
Alternatives and similar repositories for Deep_Fundamental_Factors
Users that are interested in Deep_Fundamental_Factors are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆66Updated 3 weeks ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- Implementation of a variety of Value-at-Risk backtests☆37Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Advanced Risk and Portfolio Management Resources☆28Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆27Updated 2 weeks ago
- NYU Tandon lecture slides☆31Updated this week
- Development space for PhD in Finance☆33Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago