/Fama-French-models

📈 Fama French and ML models on S&P 500 dataset

Primary LanguageJupyter Notebook

Fama French Models

Study of Fama-French stock return models using data from the S&P 500.

Linear models

  • CAPM
  • Fama-French 3-factor model
  • Fama-French-Carhart 4-factor model
  • Fama-French 5-factor model

Nonlinear methods

  • Gradient Boosting
  • Lasso and Ridge regressions
  • ARD regression
  • MLNN
  • LSTM

Feature selection methods

  • sklearn feature importance
  • boosting feature importance

Models

A comparison was made of various models with the Fama-French model.

Lasso vs 5-factor Fama-French

Lasso

ARD Regression vs 5-factor Fama-French

ARD

ARD vs Lasso

ARD vs Lasso

Gradient Boosting vs 5-factor Fama-French

Gradient Boosting