Ecosyste.ms: Repos
An open API service providing repository metadata for many open source software ecosystems.
GitHub topics: factor-model
joelowj/awesome-algorithmic-trading
A curated list of awesome algorithmic trading frameworks, libraries, software and resources
Size: 15.6 KB - Last synced: 13 days ago - Pushed: about 5 years ago - Stars: 704 - Forks: 155
factorpricingmodel/factor-pricing-model-risk-model
Package to build risk model for factor pricing model
Language: Python - Size: 45.5 MB - Last synced: 14 days ago - Pushed: 6 months ago - Stars: 14 - Forks: 2
dppalomar/covFactorModel
Covariance Matrix Estimation via Factor Models
Language: R - Size: 25.2 MB - Last synced: about 1 month ago - Pushed: about 5 years ago - Stars: 29 - Forks: 12
jhlinplus/high_dim_favar_estimation
Regularized estimation of high-dimensional FAVAR models
Language: R - Size: 244 KB - Last synced: 4 months ago - Pushed: 4 months ago - Stars: 9 - Forks: 6
blaahhrrgg/equity-risk-model
Attribution and optimisation using a multi-factor equity risk model.
Language: Jupyter Notebook - Size: 1.19 MB - Last synced: 4 months ago - Pushed: 4 months ago - Stars: 21 - Forks: 5
x7jeon8gi/FactorVAE
PyTorch implementation of FactorVAE
Language: Jupyter Notebook - Size: 4.85 MB - Last synced: 5 months ago - Pushed: 5 months ago - Stars: 24 - Forks: 6
factorpricingmodel/factor-pricing-model-universe
Package to build universes for factor pricing model
Language: Python - Size: 362 KB - Last synced: 14 days ago - Pushed: 7 months ago - Stars: 2 - Forks: 1
wecarsoniv/augmented-pca
Repository for the AugmentedPCA Python package.
Language: Python - Size: 58.4 MB - Last synced: 12 days ago - Pushed: over 2 years ago - Stars: 10 - Forks: 0
UePG-21/facvae
FactorVAE (a deep learning mode to predict stock cross-sectional returns)
Language: Python - Size: 1.1 MB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 19 - Forks: 0
Dom-Owens-UoB/mosumfvar
data segmentation and forecasting for VAR-driven factor models
Language: R - Size: 601 KB - Last synced: 4 months ago - Pushed: 11 months ago - Stars: 0 - Forks: 1
sanjeevai/multi-factor-model
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
Language: Jupyter Notebook - Size: 2.51 MB - Last synced: about 1 year ago - Pushed: over 5 years ago - Stars: 83 - Forks: 32
YasPHP/The-Five-Factor-Personality-Test
Unsupervised learning coupled with applied factor analysis to the five-factor model (FFM), a taxonomy for personality traits used to describe the human personality and psyche, via descriptors of common language and not on neuropsychological experiments. Used kmeans clustering and feature scaling (min-max normalization).
Language: Jupyter Notebook - Size: 232 KB - Last synced: over 1 year ago - Pushed: almost 3 years ago - Stars: 10 - Forks: 4
DavidCico/Factor-risk-model-with-principal-component-analysis
This repository shows the application of PCA technique for risk factor modelling of financial securities.
Language: Python - Size: 4.75 MB - Last synced: about 1 year ago - Pushed: about 4 years ago - Stars: 5 - Forks: 2
stancld/MSc-Project
This thesis investigates the relationship between employee sentiment, proxied by Glassdoor reviews and ratings, and excessive returns on corresponding bonds. While sentiment analysis is well studied for probing into how companies are perceived by investors or the general public, it is a novel idea to exploit sentiment of employees, which enables us to capture very important information for assessing companies' governance. Although a few studies scrutinising the relation employee sentiment and future stock returns have already appeared, this is the first attempt, to the best of my knowledge, to place this analysis to the universe of corporate bonds.
Language: Jupyter Notebook - Size: 66.4 MB - Last synced: about 1 year ago - Pushed: over 2 years ago - Stars: 3 - Forks: 1
JingyuYang1997/TSD_pytorch
This is a tentative pytorch implementation of the paper "Time Series Deconfounder: Estimating Treatment Effects over Time in the Presence of Hidden Confounders"
Language: Python - Size: 33.2 KB - Last synced: about 1 year ago - Pushed: about 2 years ago - Stars: 0 - Forks: 1
