xxl4tomxu98 / vector-autoregressive-model-wage-inflationsLinks
An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.
☆15Updated 4 years ago
Alternatives and similar repositories for vector-autoregressive-model-wage-inflations
Users that are interested in vector-autoregressive-model-wage-inflations are comparing it to the libraries listed below
Sorting:
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- 📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)☆12Updated 4 years ago
- This project combines logistic regression, gradient boosting, and LSTMs to predict next-month returns.☆13Updated 6 years ago
- quantitative asset allocation strategy☆34Updated 10 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆42Updated 11 months ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆12Updated 7 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆19Updated 5 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆86Updated 3 years ago
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆23Updated 5 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆76Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆14Updated 4 years ago
- ☆24Updated 2 years ago
- This repository displays my work in finance and economics datascience for future employers and collaborators.☆12Updated 2 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- ☆33Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago