sanjeevai / multi-factor-modelLinks
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
☆132Updated 6 years ago
Alternatives and similar repositories for multi-factor-model
Users that are interested in multi-factor-model are comparing it to the libraries listed below
Sorting:
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆125Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆87Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆79Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- CS7641 Team project☆95Updated 4 years ago
- ☆212Updated 7 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- ☆50Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆111Updated 6 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated this week
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- Code and data for my blogs☆92Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Implementation of 5-factor Fama French Model☆125Updated 4 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 4 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…☆67Updated 6 years ago
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆164Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- Quantopian Pairs Trading algorithm implementation.☆59Updated 7 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆58Updated 6 years ago