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
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 8 months ago
- My replication of financial papers.☆19Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Development space for PhD in Finance☆33Updated 5 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- Fama French model on a subset of Canadian Equity data with Python☆47Updated 6 years ago
- A Python toolkit for high-frequency trade research.☆40Updated 6 years ago
- ☆12Updated last year
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- ☆16Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 5 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 6 months ago
- ☆23Updated 2 months ago
- Stochastic volatility models☆18Updated 6 years ago
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated 7 months ago
- CVXPY Portfolio Optimization Sample☆46Updated 8 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆19Updated last year