factor-models

There are 24 repositories under factor-models topic.

  • purvasingh96/AI-for-Trading

    📈This repo contains detailed notes and multiple projects implemented in Python related to AI and Finance. Follow the blog here: https://purvasingh.medium.com

    Language:Jupyter Notebook36112094

  • quantbelt/ib_fundamental

    Interactive Brokers Fundamental data for humans

    Language:Python60238

  • gzj1992/Portfolio_Construction

    Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.

    Language:Python403213
  • MegaLMM

    deruncie/MegaLMM

    R package for fitting high-dimensional multivariate linear mixed effect models

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  • mofax

    bioFAM/mofax

    Work with trained factor models in Python

    Language:Jupyter Notebook3131313

  • oronimbus/tactical-asset-allocation

    Implements different approaches to tactical and strategic asset allocation

    Language:Jupyter Notebook31279

  • nico-corthorn/tba-investments-etl

    ESG investment portfolio system

    Language:Jupyter Notebook11101

  • lakshmiDRIP/DROP-Asset-Allocation

    DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.

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  • wecarsoniv/augmented-pca

    Repository for the AugmentedPCA Python package.

    Language:Python10100

  • a91quaini/intrinsicFRP

    An R package for Factor Model Asset Pricing

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  • gionikola/DynamicFactorModeling.jl

    Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).

    Language:Julia7134

  • haeran-cho/fnets

    Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series

    Language:R7305

  • cateschi/High_dimensional_state_space_model

    R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.

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  • yuz0101/QuantFin

    A toolkit for asset pricing research

    Language:Python4101

  • bmarroc/finance

    Jupyter notebooks implementing Finance projects

    Language:Jupyter Notebook3101

  • shounakch/FABLE

    Code for implementing Factor Analysis with BLEssing of dimensionality (FABLE).

    Language:C++3211

  • rwuebker/quant_modeling

    A repo to explore quantitative finance models, libraries and tooling.

    Language:Jupyter Notebook2101

  • a91quaini/FactorMAP

    Estimation and inference for factor models in Asset Pricing.

    Language:C++1100

  • dx-li/MaVaTS

    matrix-valued time series methods

    Language:Python1200

  • miindisponi99/Statistical-Factor-Model

    Implemented a statistical factor model using Asymptotic Principal Component Analysis (APCA) and various weighting strategies to improve the performance of a basket of Italian stocks relative to a benchmark (FTSEMIB)

    Language:Jupyter Notebook1101

  • alexwky/missLASSO

    Penalized regression for multiple types of many features with missing data using expectation-maximization (EM) algorithm.

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  • buddhikaum/InferringLatentStates

    This is the code for our publication Inferring Latent States in a Network Influenced by Neighbor Activities: An Undirected Generative Approach, IEEE International Conference on Acoustics, Speech and Signal Processing, New Orleans, LA, 2017

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  • PLagat/Asset-Pricing

    Estimating CAPM Betas of an equally weighted portfolio of Apple and Google from 2016 to 2021

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  • neuroquant/conf2017-factormodel

    Approximate Factor Models for Artifact Free Correlation Estimation

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