prmkowalski / filibLinks
Factor Investing Library
☆28Updated 3 years ago
Alternatives and similar repositories for filib
Users that are interested in filib are comparing it to the libraries listed below
Sorting:
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated 2 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- ☆24Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆41Updated 5 years ago
- Fama French model on a subset of Canadian Equity data with Python☆49Updated 6 years ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆13Updated 2 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated 2 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆73Updated 8 months ago
- Implements different approaches to tactical and strategic asset allocation☆44Updated last year
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆31Updated 6 years ago
- Image Classification for Trading Strategies - Project for Machine Learning Class☆37Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- ☆52Updated 2 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆31Updated 5 years ago
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Updated 6 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆30Updated 2 years ago