factor-investing
There are 8 repositories under factor-investing topic.
viniesposito / py-mlfactor
Rewriting the code in "Machine Learning for Factor Investing" in Python
Language:Jupyter Notebook 81chen-001 / pure_ocean_breeze
众人的因子回测框架 stock factor test
Language:Python 25- Financial-Market-Regime-Classification
YannickKae / Financial-Market-Regime-Classification
Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & Tactical Asset Allocation
Language:Jupyter Notebook 25 shrektan / techfactor
Calculate technical factors for stocks in an efficient, maintainable and correct way
Language:C++ 20Web dashboard to visualize equity factor dynamics using solely publicly available data.
Language:Python 16- Language:R 14
Fernando-Urbano / forest-through-the-trees
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
Language:Python 9csatzky / 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.
- Multivariate-Forecasting-VAR-vs.-LSTM
VAR vs. LSTM: Multivariate Forecasting of Factor Returns
Language:Jupyter Notebook 4 engineerinvestor / Finance-Education
Bridging engineering expertise and investment savvy through hands-on tutorials, insightful financial analysis, and collaborative learning in Python and beyond.
Language:Jupyter Notebook 3- Language:Jupyter Notebook 3
anthonyli01 / Multi-Factor-Portfolios
University Project: constructing portfolios by blending different types of factor portfolios (low-beta, value, and momentum). We investigate different techniques to weight our portfolio and calculating a combined score.
Language:Jupyter Notebook 2caralifarrell / Python-Applications-in-Finance
A project to estimate a stock's risk with a linear regression model in Python, using the Fama-French Carhart model and live data from Yahoo Finance.
Language:Jupyter Notebook 2- Language:R 2
hobinkwak / riskPremium
Risk Premia Estimation (FamaMacbeth and Three-pass)
Language:Python 1smalswad / equalweighting
Python code for Swade et al. (2023) "Why Do Equally Weighted Portfolio Beat Value-Weighted Ones?" The Journal of Portfolio Management, 49 (5), 167–187.
Language:Python 1Wally869 / IndexComputations
Computing Index Prices and Returns from prices/returns of financial assets
Language:Julia 1Banthafutter / Trace_dicknielsen_python
This code compiles the Dick-Nielsen (2012) filters to clean the Enhanced TRACE data set. It only compromises data cleaning steps. I did not provide parts where he suggests removing agency transactions.
Language:Jupyter Notebook 0dingandrew07 / gsindice_cluster_analysis
Cluster/Principal Component Analysis of Goldman Sachs Indices For Grouping into More Organized and Easily Allocated Factor Investments.
Language:Jupyter Notebook 0- Language:Python
jonadiazm / momentum_residual_analysis
Analysis of an investment strategy known as Residual Momentum on the New York Stock Exchange (NYSE) is based on the premise that stock returns exhibit a certain "inertia", which gives rise to the phenomenon known as the "momentum effect".
Language:Jupyter Notebook
