nkonts / replication-the-virtue-of-complexity-in-return-prediction
Replication of https://ssrn.com/abstract=3984925
☆31Updated 11 months ago
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
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- ☆70Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆63Updated 2 months ago
- Multivariate GARCH modelling in Python☆16Updated 4 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆13Updated 2 weeks ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- ☆44Updated 6 months ago
- Code that I show on my YouTube Channel☆97Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆39Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆62Updated last week
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- ☆25Updated last month
- Replication of momentum strategy☆18Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- Python Code for Quantitative Finance Papers☆39Updated 5 months ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆41Updated last year
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆64Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆126Updated 3 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago