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:
- 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
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 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
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 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
- Implements different approaches to tactical and strategic asset allocation☆41Updated 10 months 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
- quantitative asset allocation strategy☆33Updated 9 months 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
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆17Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 7 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
- Design your own Trading Strategy☆39Updated last year
- 📈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 repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆85Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆29Updated 2 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16Updated 8 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆75Updated 4 years ago
- ☆24Updated 2 years ago