Topic: "factor-models"
purvasingh96/AI-for-Trading
📈This repo contains detailed notes and multiple projects implemented in Python related to AI and Finance. Follow the blog here: https://purvasingh.medium.com
Language: Jupyter Notebook - Size: 79.7 MB - Last synced at: 5 months ago - Pushed at: over 4 years ago - Stars: 330 - Forks: 92
quantbelt/ib_fundamental
Interactive Brokers Fundamental data for humans
Language: Python - Size: 116 KB - Last synced at: 5 months ago - Pushed at: 8 months ago - Stars: 40 - Forks: 7
deruncie/MegaLMM
R package for fitting high-dimensional multivariate linear mixed effect models
Language: HTML - Size: 62.8 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 34 - Forks: 13
oronimbus/tactical-asset-allocation
Implements different approaches to tactical and strategic asset allocation
Language: Jupyter Notebook - Size: 1.18 MB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 27 - Forks: 7
bioFAM/mofax
Work with trained factor models in Python
Language: Jupyter Notebook - Size: 48.4 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 27 - Forks: 12
wecarsoniv/augmented-pca
Repository for the AugmentedPCA Python package.
Language: Python - Size: 63 MB - Last synced at: 11 days ago - Pushed at: 6 months ago - Stars: 10 - Forks: 0
lakshmiDRIP/DROP-Asset-Allocation
DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
Language: CSS - Size: 529 KB - Last synced at: about 2 years ago - Pushed at: over 6 years ago - Stars: 10 - Forks: 7
haeran-cho/fnets
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
Language: R - Size: 5.62 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 7 - Forks: 5
a91quaini/intrinsicFRP
An R package for Factor Model Asset Pricing
Language: HTML - Size: 12 MB - Last synced at: 15 days ago - Pushed at: 9 months ago - Stars: 7 - Forks: 2
yuz0101/QuantFin
A toolkit for asset pricing research
Language: Python - Size: 244 KB - Last synced at: 16 days ago - Pushed at: 8 months ago - Stars: 4 - Forks: 1
gionikola/DynamicFactorModeling.jl
Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).
Language: Julia - Size: 625 KB - Last synced at: about 1 year ago - Pushed at: over 2 years ago - Stars: 4 - Forks: 1
rwuebker/quant_modeling
A repo to explore quantitative finance models, libraries and tooling.
Language: Jupyter Notebook - Size: 3.79 MB - Last synced at: about 1 year ago - Pushed at: over 5 years ago - Stars: 3 - Forks: 1
shounakch/FABLE
Code for implementing Factor Analysis with BLEssing of dimensionality (FABLE).
Language: C++ - Size: 45.9 KB - Last synced at: 8 months ago - Pushed at: 8 months ago - Stars: 2 - Forks: 0
tezzachris/Commodity_Prices_Models
Estimation Commodity Pricing Factor Models
Language: MATLAB - Size: 17.6 KB - Last synced at: 24 days ago - Pushed at: 24 days ago - Stars: 1 - Forks: 0
miindisponi99/Statistical-Factor-Model
Implemented a statistical factor model using Asymptotic Principal Component Analysis (APCA) and various weighting strategies to improve the performance of a basket of Italian stocks relative to a benchmark (FTSEMIB)
Language: Jupyter Notebook - Size: 29.5 MB - Last synced at: 8 months ago - Pushed at: 8 months ago - Stars: 1 - Forks: 0
dx-li/MaVaTS
matrix-valued time series methods
Language: Python - Size: 82 KB - Last synced at: 29 days ago - Pushed at: 10 months ago - Stars: 1 - Forks: 0
a91quaini/FactorMAP
Estimation and inference for factor models in Asset Pricing.
Language: C++ - Size: 1.57 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 1 - Forks: 0
alexwky/missLASSO
Penalized regression for multiple types of many features with missing data using expectation-maximization (EM) algorithm.
Size: 5.96 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0
bmarroc/finance
Jupyter notebooks implementing Finance projects
Language: Jupyter Notebook - Size: 7.37 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
a91quaini/AdaptiveFactorRiskPremia
Adaptive estimation of mimicking factor risk premia based on the methods developed in Quaini Trojani Yuan 2023 "Intrinisic Factor Risk Premia and Testing of Asset Pricing Models".
Language: C++ - Size: 366 KB - Last synced at: about 2 years ago - Pushed at: about 2 years ago - Stars: 0 - Forks: 0
PLagat/Asset-Pricing
Estimating CAPM Betas of an equally weighted portfolio of Apple and Google from 2016 to 2021
Size: 1.95 KB - Last synced at: over 1 year ago - Pushed at: over 2 years ago - Stars: 0 - Forks: 0
