nkonts / replication-the-virtue-of-complexity-in-return-predictionLinks
Replication of https://ssrn.com/abstract=3984925
☆53Updated 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:
- ☆78Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆20Updated 10 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆144Updated 4 years ago
- Instrumented Principal Components Analysis☆245Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆103Updated 10 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- DCC GARCH modeling in Python☆101Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆126Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 3 months ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Python Code for Quantitative Finance Papers☆45Updated last year
- This repository hosts my reading notes for academic papers.☆96Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code that I show on my YouTube Channel☆103Updated 2 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
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 7 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- ☆24Updated 4 years ago