nkonts / replication-the-virtue-of-complexity-in-return-predictionLinks
Replication of https://ssrn.com/abstract=3984925
☆50Updated last year
Alternatives and similar repositories for replication-the-virtue-of-complexity-in-return-prediction
Users that are interested in replication-the-virtue-of-complexity-in-return-prediction are comparing it to the libraries listed below
Sorting:
- ☆77Updated 2 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆140Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Calculate U.S. equity (portfolio) characteristics☆98Updated last year
- Instrumented Principal Components Analysis☆243Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆50Updated 5 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆18Updated 8 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆114Updated 10 months ago
- ☆17Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- quantitative asset allocation strategy☆33Updated 9 months ago
- Python Code for Quantitative Finance Papers☆42Updated last year
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Implementation of (Re-)Imag(in)ing Price Trends☆80Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago