asset-pricing

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

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

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

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

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

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

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

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

Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)

This repository hosts my reading notes for academic papers.

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

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

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.

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

Code for "Methodological Uncertainty in Portfolio Sorts".

Implementation of "Pricing the Term Structure with Linear Regressions" from Adrian, Crump and Moench (2013)

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

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.

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

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.