empirical asset pricing
☆49Sep 23, 2023Updated 2 years ago
Alternatives and similar repositories for EAP
Users that are interested in EAP are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- Machine learning methods for identifing investment factors☆19Nov 9, 2021Updated 4 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆45Jan 26, 2023Updated 3 years ago
- ☆11Mar 19, 2018Updated 8 years ago
- 武汉大学金融科技研讨班☆382Mar 9, 2026Updated 2 weeks ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Apr 12, 2023Updated 2 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆22Mar 6, 2025Updated last year
- ☆16Jul 22, 2021Updated 4 years ago
- ☆16Aug 22, 2017Updated 8 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆37Feb 9, 2023Updated 3 years ago
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆40Feb 17, 2026Updated last month
- ☆11Jun 9, 2021Updated 4 years ago
- Python codes for GARCH-MIDAS model (estimation & forecast)☆15Jan 28, 2023Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Jun 14, 2024Updated last year
- Empirical asset pricing via Machine Learning in the Korean market☆46Mar 1, 2024Updated 2 years ago
- Resources for a PhD class module focused on anomalies.☆19Jun 7, 2024Updated last year
- qlib数据层backend支持pgsql数据库☆15Jan 3, 2024Updated 2 years ago
- FamaFrench(1992)论文复现;FamaFrench三因子模型；python☆45Jan 26, 2021Updated 5 years ago
- Python implementation of Markov Switching Model using Bayesian inference (Gibbs Sampling) by Lim et al (2020)☆10Dec 4, 2022Updated 3 years ago
- ☆14Mar 16, 2024Updated 2 years ago
- DSGE, Macroeconomic Model, matlab, julia, python, dynare☆50Nov 1, 2019Updated 6 years ago
- An Empirical Study of Capital Asset Pricing Model based on Chinese A-share Trading Data.☆28May 26, 2024Updated last year
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Mar 1, 2020Updated 6 years ago
- generic project files☆39Sep 17, 2016Updated 9 years ago
- 波动率指数的计算，修改自https://github.com/Alexdachen/ivix☆19Mar 21, 2019Updated 7 years ago
- Machine Learning-Driven Quantamental Investing☆146Jun 25, 2020Updated 5 years ago
- Stock investment can be one of the ways to manage one’s asset. Technical analysis is sometimes used in financial markets to assist trader…☆13Sep 30, 2020Updated 5 years ago
- 爬取谷歌专利☆11Aug 23, 2019Updated 6 years ago
- Generalized Method of Moments estimation☆13Mar 23, 2025Updated last year
- An Introduction to Computational Macroeconomics (U Tokyo 2022)☆14Jul 13, 2022Updated 3 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 3 years ago
- Project that uses deep learning to forecast stock returns and defines the optimal allocation for a maximum☆22Apr 23, 2021Updated 4 years ago
- Applied BERT based model to extract relations from 29 annual reports of listed companies and news; Used spaCy library and BERT model for …☆13Feb 2, 2022Updated 4 years ago
- A toolbox for simulating and estimating long-term causal effects in the presence of unobserved confounding.☆14Feb 20, 2023Updated 3 years ago
- 本地化zipline，并对其进行部分加工，适用于国内 day,minute 和tick数据的回测☆21Dec 7, 2022Updated 3 years ago
- ☆15May 24, 2021Updated 4 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆18Jul 19, 2021Updated 4 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆12Apr 11, 2023Updated 2 years ago