/MultiFactorModel

Regression of equity returns against the market and sector returns, out-of-sample prediction using past returns and ARMA analysis. Uses Statsmodels package heavily for these analyses.

Primary LanguagePython

MultiFactorModel

Regression of equity returns against the market and sector returns, out-of-sample prediction using past returns and ARMA analysis. Uses Statsmodels package heavily for these analyses.

Refer to the the MultiFactorExample.py for additional setup instructions.