yolsever / ML-in-equity-prediction
My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
☆48Updated 4 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
- ☆28Updated 3 years ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- ☆68Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- ☆26Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Machine learning methods for identifing investment factors☆15Updated 3 years ago
- Fama French model on a subset of Canadian Equity data with Python☆45Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆123Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ☆16Updated 6 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 10 months ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆16Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆85Updated 5 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ☆14Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆41Updated last year
- Machine learning methods for identifing investment factors☆18Updated 2 years ago