/AFP_Forecast_Alpha_Using_ML

AFP Project: Using Machine Learning Methods to Predict Returns with Standard Signals

Primary LanguageJupyter Notebook

AFP: Using Machine Learning To Predict Retruns With Standard Signals

Data

SnP500:

https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/indexes_a/sp500/sp500.cfm?navId=125

List SnP 500:

https://wrds-web.wharton.upenn.edu/wrds/ds/compd/index/constituents.cfm?navId=83

Prices:

https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/stock_a/dsf.cfm?navId=128

Fama-French Factors - Daily Frequency:

https://wrds-web.wharton.upenn.edu/wrds/ds/famafrench/factors_d.cfm?navId=203

Beta Factors:

https://wrds-web.wharton.upenn.edu/wrds/ds/wrdsbeta/index.cfm?navId=428

Interesting Papers:

http://www.chloe-hsu.com/html/multivariate_rolling_regression

https://pdfs.semanticscholar.org/7385/f58c4f821e67f3e36a6213f0ddbc0f2cb1db.pdf

https://brage.bibsys.no/xmlui/bitstream/handle/11250/2407462/masterthesis.PDF?sequence=1

Forecast