omartinsky / FamaFrenchLinks
Implementation of 5-factor Fama French Model
☆135Updated 4 years ago
Alternatives and similar repositories for FamaFrench
Users that are interested in FamaFrench are comparing it to the libraries listed below
Sorting:
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆157Updated last year
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Python Financial ENGineering (PyFENG package in PyPI.org)☆174Updated 2 months ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆377Updated 7 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆128Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆101Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆187Updated 2 months ago
- CS7641 Team project☆97Updated 5 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆65Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆41Updated 10 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆87Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- ☆157Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆167Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆48Updated 3 years ago
- ☆215Updated 8 years ago
- ☆82Updated 11 months ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆140Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 7 years ago