A curated list of awesome algorithmic trading frameworks, libraries, software and resources
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
PyTorch implementation of FactorVAE
Covariance Matrix Estimation via Factor Models
Attribution and optimisation using a multi-factor equity risk model.
Package to build risk model for factor pricing model
This repository shows the application of PCA technique for risk factor modelling of financial securities.
Data Science Project: Replication of "Forest Through the Trees: Building Cross-Sections of Stock Returns" - creation of assets to test validity of factor models with Python
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).
Repository for the AugmentedPCA Python package.
Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
FactorModel & TimeSeries Analyze For Predicting BTC, ETH.
Replication Study on Idiosyncratic Momentum Strategy
Package to build universes for factor pricing model
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...
This is a tentative pytorch implementation of the paper "Time Series Deconfounder: Estimating Treatment Effects over Time in the Presence of Hidden Confounders"
Determining the number of factors in Poisson factor model via thinning cross-validation. Stable release available on CRAN (https://cran.r-project.org/package=tcv); development version hosted on GitHub.
Factor Modeling
此為機器學習與財務計量專案的環節之一
Add a description, image, and links to the factor-model topic page so that developers can more easily learn about it.
To associate your repository with the factor-model topic, visit your repo's landing page and select "manage topics."