asset-pricing

There are 48 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

    Language:Python8.8k1971.4k1.8k

  • EliteQuant/EliteQuant

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

    2.8k1675562

  • 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

    Language:Jupyter Notebook1.1k738328

  • LongOnly/Quantitative-Notebooks

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

    Language:Jupyter Notebook962290175

  • bashtage/linearmodels

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

    Language:Python91125171182

  • MathSci/fecon236

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

    Language:Python1249753
  • website

    tidy-finance/website

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

    Language:TeX75103845

  • zhanghaitao1/awesome-quant-papers

    This repository hosts my reading notes for academic papers.

    671019

  • RichardS0268/Autoencoder-Asset-Pricing-Models

    Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)

    Language:Python493312

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

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

    Language:Python30209

  • asaficontact/FX_forecasting_model

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

    Language:Python252017
  • 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.

    Language:Jupyter Notebook221610

  • ioannisrpt/FamaFrench2015FF5

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

    Language:Python15005

  • ioannisrpt/portsort

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

    Language:Python15001

  • patrick-weiss/PortfolioSorts_NSE

    Code for "Methodological Uncertainty in Portfolio Sorts".

    Language:TeX15104

  • 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

    Language:Jupyter Notebook13406

  • 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.

    10202

  • 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.

    Language:Jupyter Notebook9207

  • pig618/amf_gibs

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

    Language:R9202

  • 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.

    Language:TeX8209

  • mk0417/Empirical-finance-data-tools

    Codes to clean data and construct variables for empirical finance.

    Language:Python7108

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

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

    Language:Jupyter Notebook75

  • 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.

    6100

  • siebenbrunner/NetworkValuation

    Routines for the valuation of cross-holdings of financial contracts

    Language:MATLAB6403

  • ioannisrpt/DanielTitman1997

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

    Language:Python4002

  • leetoo/EliteQuant

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

    4402

  • VFCI/vfci

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

    Language:R4223

  • yuz0101/QuantFin

    A toolkit for asset pricing research

    Language:Python4101

  • dumengkun/thesis

    Methods in my PhD thesis

    Language:R3100

  • SteffenGue/GRS_Test

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

    Language:Python3100

  • SteffenGue/PortfolioSort

    Repository to perform portfolio sorts for empirical asset pricing

    Language:Python30

  • x512/getfactormodels

    Retrieve data for various multi-factor asset pricing models.

    Language:Python3101

  • mohithsathyanarayanan/FINTECH

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

    Language:Java2101

  • 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).

    Language:Jupyter Notebook2100

  • thiago-os/singlesort

    Historical performance of single-sort investment strategies.

    Language:Jupyter Notebook2100

  • MCHatcher/Short-selling-tax-many

    This repository provides code and files for the paper "Heterogeneous beliefs and short selling taxes: A note"

    Language:MATLAB1100