samsonq / Modifying-Shiller-CAPE-RatioLinks
Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.
☆15Updated 2 years ago
Alternatives and similar repositories for Modifying-Shiller-CAPE-Ratio
Users that are interested in Modifying-Shiller-CAPE-Ratio are comparing it to the libraries listed below
Sorting:
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 9 months ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated last week
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Stochastic volatility models☆18Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 2 years ago
- A Python toolkit for high-frequency trade research.☆41Updated 7 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Factor Investing Library☆27Updated 2 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆50Updated 3 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆12Updated 2 years ago
- ☆11Updated last month
- ☆16Updated 4 years ago
- Fama French model on a subset of Canadian Equity data with Python☆48Updated 6 years ago
- ☆24Updated 3 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Portfolio optimization with cvxopt☆39Updated 5 months ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated last year
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- ☆35Updated 7 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆63Updated 3 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago