vilkovgr / qmomsLinks
qmoms package to compute option-implied moments from surface data
☆21Updated last year
Alternatives and similar repositories for qmoms
Users that are interested in qmoms are comparing it to the libraries listed below
Sorting:
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated 11 months ago
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- ☆27Updated last month
- Calculate U.S. equity (portfolio) characteristics☆94Updated last year
- ☆47Updated 5 months ago
- Replication of momentum strategy☆18Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆43Updated last year
- Instrumented Principal Components Analysis☆231Updated 2 years ago
- ☆106Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 5 months ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆323Updated 5 months ago
- ☆71Updated 2 years ago
- Multivariate GARCH modelling in Python☆17Updated 9 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 5 months ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- Python Nowcasting☆127Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Empirical Data and Some Simulation Codes☆103Updated 6 years ago
- code for turning data sets into trading strategies☆36Updated this week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆82Updated 6 months ago
- Portfolio Construction and Risk Management book's Python code.☆117Updated 3 weeks ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 9 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆34Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆170Updated this week
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 3 weeks ago