yolsever / ML-in-equity-predictionLinks
My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
☆50Updated 5 years ago
Alternatives and similar repositories for ML-in-equity-prediction
Users that are interested in ML-in-equity-prediction are comparing it to the libraries listed below
Sorting:
- ☆78Updated 3 years ago
- https://arxiv.org/abs/1805.01104☆122Updated 5 years ago
- ☆28Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆144Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Empirical Data and Some Simulation Codes☆109Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- DCC GARCH modeling in Python☆101Updated 6 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 4 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Updated 7 years ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- ☆80Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Updated 8 years ago
- Python Nowcasting☆131Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- NYU Tandon lecture slides☆32Updated 6 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Updated 4 years ago
- A repository for machine learning based investment strategies☆28Updated 6 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Updated last year
- Empirical asset pricing via Machine Learning in the Korean market☆46Updated last year
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 5 years ago