tmro98 / machine-learning-in-asset-pricingLinks
Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns
☆13Updated last year
Alternatives and similar repositories for machine-learning-in-asset-pricing
Users that are interested in machine-learning-in-asset-pricing are comparing it to the libraries listed below
Sorting:
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆42Updated 5 years ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆90Updated 9 months ago
- ☆70Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- DCC GARCH modeling in Python☆93Updated 5 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆39Updated last year
- Replication of https://ssrn.com/abstract=3984925☆37Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- ☆32Updated 4 years ago
- ☆18Updated 8 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Machine learning methods for identifing investment factors☆20Updated 3 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆91Updated 10 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆15Updated 4 years ago
- Equity return and characteristics of China A-Share market☆19Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆60Updated 9 months ago
- quantitative asset allocation strategy☆27Updated 4 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- The Implementation of paper (RE)IMAGE(IN)ING PRICE TRENDS by PyTorch☆19Updated 4 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆129Updated 3 years ago
- empirical asset pricing☆45Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- ☆17Updated 3 years ago