BayesianLongTermFactorModeling

This is the Python code and data for our old article: A Note on Bayesian long-term factor modeling of the stock market. This is not an active research and is archived now. See FMR7.py and FMR8.py for the 3-factor model; see 1Y-nomreturn-all.py, 10Y-nomreturn-all.py, 1Y-realreturn-all.py, 10Y-realreturn-all.py for the 1-factor model. Data is in the file multpl.xlsx. Results for simulations of the 3-factor model with varying initial factors are in results.xlsx. Other files are just archive. In particular, FMRQ-Qplot is the code to make QQ plots for AR and ARMA modeling. This attempt to get normal residuals by Lissa Callahan failed.