omartinsky / FamaFrenchLinks
Implementation of 5-factor Fama French Model
☆137Updated 4 years ago
Alternatives and similar repositories for FamaFrench
Users that are interested in FamaFrench are comparing it to the libraries listed below
Sorting:
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆93Updated 4 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆176Updated 3 months ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆159Updated 2 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆103Updated 3 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆130Updated 2 years ago
- Macrosynergy Quant Research☆163Updated last week
- CS7641 Team project☆97Updated 5 years ago
- ☆53Updated 8 years ago
- Python library for asset pricing☆125Updated last year
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆169Updated 7 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆121Updated 11 months ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 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
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆197Updated 3 months ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- ☆85Updated last year
- Machine Learning-Driven Quantamental Investing☆140Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆378Updated 7 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆143Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Website dedicated to a book on machine learning for factor investing☆236Updated 2 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆206Updated last year