asset-pricing

There are 17 repositories under asset-pricing topic.

• akshare

  akfamily / akshare

  AKShare is an elegant and simple financial data interface library for Python, built for human beings! 开源财经数据接口库

  academicakshareasset-pricingbondcurrencydatadata-analysisdata-sciencedatasetseconomic-dataeconomicsfinancefinance-apifinancial-datafundamentalfuturesoptionquantstock
  Language:Python 8360

• EliteQuant / EliteQuant

  A list of online resources for quantitative modeling, trading, portfolio management

  algorithmic-tradingasset-managementasset-pricingmachine-learningmathematical-financeportfolio-managementquantitative-financequantitative-tradingtrading-platformtrading-systems
  2746

• rsvp / fecon235

  Notebooks for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

  asset-pricingbondseconometricseconomicsemploymentequitiesfecon236federal-reservefinancefxgdpgoldhousinginflationinterest-ratesjupyter-notebookpandaspythonstatisticstime-series
  Language:Jupyter Notebook 1088

• LongOnly / Quantitative-Notebooks

  Educational notebooks on quantitative finance, algorithmic trading, financial modelling and investment strategy

  quantitative-financequantitative-tradingasset-managementasset-allocationalgotradingtrading-algorithmstrading-strategiesfinancial-analysispairs-tradingalgorithmic-tradingasset-pricingstock-tradingpythonmachine-learningdata-analysisdata-sciencejupyternotebook
  Language:Jupyter Notebook 932

• bashtage / linearmodels

  Additional linear models including instrumental variable and panel data models that are missing from statsmodels.

  ivinstrumental-variablepanelregressionstatistical-modelolsgmmfixed-effectsrandom-effectsbetween-estimatorfirst-differenceclustered-standard-errorspooled-olslinear-modelspanel-datapanel-modelspanel-regressionfama-macbethasset-pricingseemingly-unrelated-regression
  Language:Python 883

• MathSci / fecon236

  Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.

  asset-pricingbondseconometricseconomicsequitiesfecon235financefxgoldhousinginflationinterest-ratespandaspythonstatisticstime-series
  Language:Python 119
• website

  tidy-finance / website

  This repository hosts the source code for the website tidy-finance.org

  asset-pricingfinanceggplot2tidyversedplyrsqlitemachine-learningnumpypandasplotnine
  Language:TeX 72

• zhanghaitao1 / awesome-quant-papers

  This repository hosts my reading notes for academic papers.

  academic-paperasset-pricingquantitativemachine-learningdeep-learningreading-notesmindmapeconometricspapersacademic-papers
  58

• RichardS0268 / Autoencoder-Asset-Pricing-Models

  Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)

  asset-pricingautoencoder
  Language:Python 40

• bottama / stochastic-asset-pricing-in-continuous-time

  Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method

  asset-pricingfinancial-modelingstochastic-processesstochastic-differential-equationsgeometric-brownian-motionwiener-processmonte-carlomonte-carlo-simulationcapital-marketsarbitrage-pricingrisk-neutral-probabilitygbmsdedrift
  Language:Python 26

• asaficontact / FX_forecasting_model

  Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"

  exchange-ratesexchange-rates-forecastingfinancial-econometricsfinancial-economicsasset-pricingforexforex-predictionprincipal-component-analysispandasinterest-ratesyield-curve
  Language:Python 22
• algotradingbot

  ktiwari9 / algotradingbot

  This repository consists several bots encoding various algorithmic trading strategies. The aim here is for absolute beginners in stock trading to get familiar with the various aspects of the market. All you need is basics of statistics and python to understand the underlying metrics and conditions utilized to make decisions. Contributions welcome.

  pythondatasciencemachine-learningjupyter-notebooktradingtrading-bottrading-strategiesalgorithmic-tradingalgotrading-machine-learningassets-managementasset-pricingasset-allocationstock-marketstock-price-predictionsignalsbacktesting-trading-strategiesquantitative-analysis
  Language:Jupyter Notebook 22

• ioannisrpt / FamaFrench2015FF5

  Replication of the 5 Fama-French factors as constructed in their 2015 paper.

  asset-pricingfama-frenchfinancepythonreplication
  Language:Python 14

• ioannisrpt / portsort

  A package to sort stocks into portfolios and calculate weighted-average returns.

  pythonfinanceasset-pricingsortingportfolios
  Language:Python 14

• patrick-weiss / PortfolioSorts_NSE

  Code for "Non-Standard Errors in Portfolio Sorts".

  asset-pricingfinanceopen-source
  Language:TeX 14

• lnsongxf / fecon235

  Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

  jupyter-notebookpandasfederal-reservegdpinflationincomehousingequitiesbondsfxgoldtime-series-econometricsstatisticsasset-pricingfinanceinterest-rateseconomicsemploymentpython
  Language:Jupyter Notebook 12

• dcuoliveira / fgv-empirical-asset-pricing

  This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of economics at FGV-SP on 2020 by prof. Marcelo Fernandes.

  asset-pricingeesp-fgvhomework-assignmentslecture-notes
  Language:Jupyter Notebook 9

• wyattm94 / Equity-Valuation-Modelling-in-Excel

  This project consists of custom built modelling frameworks for pricing equity assets. Through the project's evolution, the framework evolves from a single case Discounted Cash Flow model to an interactive Probability Weighted Discounted Cash Flow model that includes multiple cases, multiple supporting models and is all built in Excel while utilizing the Visual Basic programming language.

  excelvbadcfpwdcfequity-researchasset-pricingforecastingmodel-buildingmulti-model-frameworks
  9

• asaficontact / learning_to_beat_the_random_walk

  In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM), Artificial Neural Networks (ANN), and Sentiment Analysis in an effort to predict the directional changes in exchange rates for a list of developed and developing countries.

  neural-networkssentiment-analysistf-idfcosine-similarityvader-sentiment-analysistextblob-sentiment-analysisobject-oriented-programmingexchange-ratesexchange-rates-forecastingfinancial-econometricsfinancial-economicsasset-pricingforexforex-predictioncarry-tradeshinyappslatexsupport-vector-machinesprincipal-component-analysisnews-articles
  Language:TeX 8

• pig618 / amf_gibs

  The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.

  asset-pricingmachine-learningfeature-selection
  Language:R 8

• mk0417 / Empirical-finance-data-tools

  Codes to clean data and construct variables for empirical finance.

  empirical-researchempirical-financeasset-pricingpython
  Language:Python 7

• siebenbrunner / NetworkValuation

  Routines for the valuation of cross-holdings of financial contracts

  financeasset-pricingnetwork-science
  Language:MATLAB 6

• tmro98 / machine-learning-in-asset-pricing

  Machine Learning in Asset Pricing: Time-Series and Cross-Sectional Forecasting of Excess Equity Returns

  asset-pricingmachine-learningquantitative-financestock-market
  Language:Jupyter Notebook 6

• csatzky / empirical-analysis-of-asset-pricing-beliefs

  In this study, I empirically and statistically investigate the credibility of common asset pricing beliefs using data from S&P 500® constituents from January 2010–December 2020.

  asset-pricingasset-managementfactor-investingequity-marketsequity-researchempirical-research
  5

• ioannisrpt / DanielTitman1997

  Replication of the methodology of Daniel and Titman (1997) for constructing pre-formation and constant-weight allocation Fama-French factors.

  asset-pricingdaniel-titmanfinancepythonreplication
  Language:Python 4

• leetoo / EliteQuant

  A list of online resources for quantitative modeling, trading, portfolio management

  quantitative-tradingquantitative-financetrading-platformtrading-systemsportfolio-managementasset-managementasset-pricingmatematical-financemachine-learningalgorithmic-trading
  4

• VFCI / vfci

  Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

  asset-pricingfciheteroskedasticitymacroeconomicsrr-langsvarvector-autoregressionvolatilityconsumption-based-asset-pricingfinancial-conditionsfinancial-conditions-indexprice-of-riskv-fcivfcimacroeconomic-modelmacro-financegrowth-at-riskmonetary-policy
  Language:R 4

• dumengkun / thesis

  Methods in my PhD thesis

  multiple-testingasset-pricing
  Language:R 3

• SteffenGue / GRS_Test

  Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)

  asset-pricingcapmfama-frenchfinancegrs-testpython
  Language:Python 3

• yuz0101 / QuantFin

  A toolkit for asset pricing research

  pricingasset-pricingempiricalfama-frenchfinancemomentumportfoliocapmquantfactor-modelsquantitativeportfolio-sortingempirical-financeportfolio-managementquantitative-finance
  Language:Python 3

• mohithsathyanarayanan / FINTECH

  The basic implementation of the famous Capital asset pricing model and portfolio assessment based on the Capital Asset Pricing Model.

  capmasset-pricingportfolioanalytics
  Language:Java 2

• SteffenGue / PortfolioSort

  Repository to perform portfolio sorts for empirical asset pricing

  asset-pricingfinanceportfolio-sorts
  Language:Python 2

• thiago-os / Dissecting

  Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

  asset-pricingreturn-forecastpredictabilityout-of-sampleequity-premiumbook-to-marketsmachine-learning
  Language:Jupyter Notebook 2

• thiago-os / singlesort

  Historical performance of single-sort investment strategies.

  asset-pricingquantitative-strategysystematic-trading-strategiesportfolio-selection
  Language:Jupyter Notebook 2

• a91quaini / FactorMAP

  Estimation and inference for factor models in Asset Pricing.

  asset-pricingfactor-modelsidentification-testsmisspecification-teststwo-pass-regression
  Language:C++ 1

• ArtemySazonov / RoughnessEstimation

  Repository of the 'Pricing under Rough Volatility Models' Student Lab

  asset-pricingestimationrough-volatilityvega-institute-foundation
  Language:Jupyter Notebook 1