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
- 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
- 📈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
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 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
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆22Updated 3 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆30Updated 5 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 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 …☆13Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- Code for Machine Learning for Algorithmic Trading, 2nd edition.☆19Updated 3 years ago
- ☆45Updated 2 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- ☆24Updated 2 years ago
- ☆31Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Design your own Trading Strategy☆39Updated last year
- quantitative asset allocation strategy☆33Updated 9 months ago
- Dispersion Trading using Options☆33Updated 8 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆73Updated 4 years ago
- Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & …☆37Updated last year
- A Quantitative Finance Engineering Project☆13Updated 2 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago