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

• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆77Updated 2 years ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆141Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆69Updated last year
• viniesposito / py-mlfactor
  Rewriting the code in "Machine Learning for Factor Investing" in Python
  ☆93Updated 4 years ago
• QuhiQuhihi / project_Asset_Allocation
  quantitative asset allocation strategy
  ☆34Updated 10 months ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆33Updated last year
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆101Updated 8 months ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆52Updated 5 years ago
• luphord / yield_curve_dynamics
  A cursory look at the dynamics of zero coupon bond yield curves.
  ☆15Updated 2 years ago
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆98Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆117Updated 10 months ago
• YuSunBaruch / MTH9894_Systematic_Trading-1
  This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
  ☆16Updated 8 years ago
• oronimbus / tactical-asset-allocation
  Implements different approaches to tactical and strategic asset allocation
  ☆43Updated 11 months ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆100Updated 5 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 4 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆36Updated 2 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆22Updated 5 years ago
• vilen22 / sofr
  SOFR curve bootstrapping
  ☆26Updated 5 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆54Updated 6 years ago
• shilewenuw / deep-learning-portfolio-optimization
  ☆73Updated 5 years ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆47Updated 2 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆103Updated last year
• omartinsky / FamaFrench
  Implementation of 5-factor Fama French Model
  ☆136Updated 4 years ago
• bkelly-lab / ipca
  Instrumented Principal Components Analysis
  ☆243Updated 3 years ago
• jgatheral / RationalRoughHeston
  ☆12Updated last year
• zhanghaitao1 / awesome-quant-papers
  This repository hosts my reading notes for academic papers.
  ☆91Updated 4 years ago