Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
☆26Mar 6, 2025Updated last year
Alternatives and similar repositories for ml-and-the-implementable-efficient-frontier
Users that are interested in ml-and-the-implementable-efficient-frontier are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Mar 1, 2020Updated 6 years ago
- ☆54Oct 20, 2025Updated 6 months ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆39Jul 5, 2023Updated 2 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆17Feb 8, 2024Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated last year
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Keep up-to-date with the latest academic macroeconomics/finance research.☆17Dec 22, 2022Updated 3 years ago
- Empirical Finance Course (PhD, Julia code)☆39Nov 24, 2024Updated last year
- Codes to clean data and construct variables for empirical finance.☆12Sep 14, 2021Updated 4 years ago
- This module contains the core code for the missing data imputation proposed in the the paper "Missing Financial Data". It is intended for…☆12Jan 20, 2024Updated 2 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆47Jan 26, 2023Updated 3 years ago
- A lean package to estimate financial asset betas☆13Feb 12, 2023Updated 3 years ago
- Quantitative Trading☆18Mar 9, 2020Updated 6 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆364Jan 8, 2026Updated 3 months ago
- Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns☆16Sep 21, 2023Updated 2 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Apr 12, 2023Updated 3 years ago
- Python Code for Quantitative Finance Papers☆48Oct 2, 2024Updated last year
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- A Julia implementation of the Quadratic Kalman Filter as in Monfort, Renne, & Roussellet (2014, Journal of Econometrics).☆11May 30, 2025Updated 11 months ago
- End-to-end solution to process TRACE corporate bond data.☆48Mar 23, 2026Updated last month
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- VQ-TR repository☆12Apr 18, 2024Updated 2 years ago
- Operator Deep Smoothing☆15Feb 7, 2025Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆20Dec 21, 2023Updated 2 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- 🔬 A collection for those AI (RL / DL / SL / Evoluation / Genetic Algorithm) used in financial market. otherwise, we add Technology Analy…☆10May 18, 2019Updated 6 years ago
- Julia package providing access to the Fama-French data available on the Ken French Data Library☆11Oct 26, 2025Updated 6 months ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- A Julia distribution for science, out of the box☆27Apr 16, 2026Updated 2 weeks ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Oct 24, 2019Updated 6 years ago
- VeighNa框架的DolphinDB数据库接口☆25Oct 2, 2025Updated 7 months ago
- Calculate U.S. equity (portfolio) characteristics☆109Aug 9, 2024Updated last year
- ☆14Mar 1, 2024Updated 2 years ago
- Code for Textual Factor Framework in Cong, Liang and Zhang 2019☆22Jul 17, 2024Updated last year
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Machine learning methods for identifing investment factors☆19Nov 9, 2021Updated 4 years ago
- ☆25Aug 19, 2017Updated 8 years ago
- ☆56Mar 14, 2021Updated 5 years ago
- Machine Learning for the ASX200☆10Apr 12, 2017Updated 9 years ago
- Computation of Sparse Eigenvectors of a Matrix☆12Dec 22, 2018Updated 7 years ago
- empirical asset pricing☆49Sep 23, 2023Updated 2 years ago
- Confidence Estimates with KalmanNet☆12Oct 6, 2021Updated 4 years ago