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:
- This Python Jupyter notebook explores conservative "all weather" investment portfolios☆26Sep 8, 2022Updated 3 years ago
- ☆15Oct 3, 2025Updated 6 months ago
- Macrosynergy Quant Research☆175Updated this week
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆39Mar 26, 2018Updated 8 years ago
- ☆16May 28, 2022Updated 3 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- ☆12Mar 10, 2024Updated 2 years ago
- ☆12Jun 9, 2019Updated 6 years ago
- This repository stores several Jupyter Notebooks that were developed while studying for the Certificate in Quantitative Finance.☆54Oct 8, 2023Updated 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 5 years ago
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆11Aug 22, 2023Updated 2 years ago
- Momentum and position based trading strategy analysis☆11May 31, 2017Updated 8 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆32Apr 10, 2023Updated 3 years ago
- experiments with crypto trading☆16Jul 26, 2024Updated last year
- Matteo Iacoviello's personal webpage☆12Updated this week
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Black-Litterman model portfolio optimizer☆16Aug 28, 2020Updated 5 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
- Project description: https://medium.com/p/recession-prediction-using-machine-learning-de6eee16ca94?source=email-2adc3d3cd2ed--writer.post…☆41Feb 22, 2025Updated last year
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆70Mar 27, 2023Updated 3 years ago
- Every exam and final project of June 2021 Cohort - CQF program.☆19Feb 24, 2022Updated 4 years ago
- ☆28Aug 26, 2024Updated last year
- ☆11Oct 6, 2020Updated 5 years ago
- ☆16Aug 27, 2022Updated 3 years ago
- This repository provides the replication code for the analysis results in Kelly, B., Papanikolaou, D., Seru, A. and Taddy, M., 2021. Amer…☆24Sep 10, 2023Updated 2 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Deep Reinforcement Learning Framework for Factor Investing☆30Mar 25, 2023Updated 3 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Oct 19, 2020Updated 5 years ago
- ☆24Dec 7, 2022Updated 3 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆11Jul 19, 2019Updated 6 years ago
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆34Nov 10, 2021Updated 4 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Jan 20, 2022Updated 4 years ago
- A LaTeX document class to create small hand-outs (flyers)☆13Mar 12, 2024Updated 2 years ago
- A simple numpy-based genetic algorithm library for function parameter optimization.☆11Apr 7, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- ☆16Feb 25, 2020Updated 6 years ago
- The intraday seasonality of volatility and trading volume in the cryptocurrency market☆14Feb 17, 2025Updated last year
- Financial analysis, algorithmic trading, portfolio optimization examples with Python (DISCLAIMER - No Investment Advice Provided, YASAL U…☆46Nov 25, 2022Updated 3 years ago
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆49Apr 6, 2025Updated last year
- Pairs Trading in CTA trending strategy backtesting, by iterateing parameters on the last 6 months and pick the optimal one, then start tr…☆11Sep 13, 2017Updated 8 years ago
- ☆30Jun 1, 2021Updated 4 years ago