A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation of Beta and its sensitivity to the length of the estimation for covariance matrix and the expected returns under different market scenarios.
☆17Nov 10, 2021Updated 4 years ago
Alternatives and similar repositories for Global-Macro-Strategies
Users that are interested in Global-Macro-Strategies are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Momentum and position based trading strategy analysis☆11May 31, 2017Updated 9 years ago
- This Python Jupyter notebook explores conservative "all weather" investment portfolios☆27Sep 8, 2022Updated 4 years ago
- ☆19Oct 9, 2026Updated 3 weeks ago
- Deep learning for solving and estimating dynamic macro-finance models☆21Aug 23, 2025Updated last year
- Macrosynergy Quant Research☆199Updated this week
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Project description: https://medium.com/p/recession-prediction-using-machine-learning-de6eee16ca94?source=email-2adc3d3cd2ed--writer.post…☆42Jun 14, 2026Updated 4 months ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆32Jun 5, 2022Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆71Mar 27, 2023Updated 3 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆40Mar 26, 2018Updated 8 years ago
- Matteo Iacoviello's personal webpage☆15Updated this week
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆32Feb 10, 2019Updated 7 years ago
- ☆17May 28, 2022Updated 4 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆58Oct 8, 2023Updated 3 years ago
- Python implementation of the pairs trading strategy in Gatev, Goetzmann and Rouwenhorst (2006). I am not the author of that study; this i…☆16May 16, 2023Updated 3 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Jul 3, 2018Updated 8 years ago
- ☆14Mar 10, 2024Updated 2 years ago
- This will include all the lecture slides, exercise papers, and data sheets used in Certificate in Quantitative Finance for the June 2020 …☆32Oct 6, 2020Updated 6 years ago
- Every exam and final project of June 2021 Cohort - CQF program.☆19Feb 24, 2022Updated 4 years ago
- Black-Litterman model portfolio optimizer☆15Aug 28, 2020Updated 6 years ago
- This repository is designed to accompany and expand my articles published on Medium and LinkedIn, providing: ✔ Full derivations in clean…☆16Dec 20, 2025Updated 10 months ago
- Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆15Nov 21, 2023Updated 2 years ago
- Simple storage for stock prices with adjusted prices calculation based on Center for Research in Security Prices (CRSP) standards☆12Feb 15, 2018Updated 8 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆36Apr 10, 2023Updated 3 years ago
- 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.
- Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.☆11Sep 18, 2022Updated 4 years ago
- ☆28Aug 26, 2024Updated 2 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆12Aug 22, 2023Updated 3 years ago
- Numba-vectorised Black-Scholes-Merton and Bachelier prices, Greeks, and implied-volatility fits over NumPy arrays for quantitative resear…☆15Updated this week
- Financial Machine Learning Repository☆12Apr 25, 2024Updated 2 years ago
- ☆16Aug 27, 2022Updated 4 years ago
- High Frequency Market Making: Optimal Quoting☆19Mar 20, 2023Updated 3 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆23Jun 4, 2025Updated last year
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- ☆85Aug 2, 2022Updated 4 years ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Oct 19, 2020Updated 6 years ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 8 years ago
- ☆11Oct 6, 2020Updated 6 years ago
- Implementation of several permutations of the popular Barra-style risk model using statsmodels.☆10Oct 15, 2019Updated 7 years ago
- Course Website on Macroeconomic Analysis with Machine Learning and Big Data☆136Jan 20, 2024Updated 2 years ago