Introduction to Python programming language, with a focus on basic data analysis and financial economics applications.

Risk Premia Estimation (FamaMacbeth and Three-pass)

Repository to perform portfolio sorts for empirical asset pricing

This code was written for my Linear Algebra capstone project. I analyze the performance of ARK Invest, an investment firm specializing in actively managed Exchange Traded Funds (ETFs). My analysis is motivated by the broader debate over whether active investors can generate superior returns to passive funds.

Univariate, Bivariate sorting and Fama-MacBeth regression

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

A toolkit for asset pricing research

Retrieve data for various multi-factor asset pricing models.

Interpolating Neural Networks in Asset Pricing Data. Supports Distributed Training in TensorFlow.

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

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

A main CTA backtesting system and several research of utilizing machine learning on asset pricing

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

Codes to clean data and construct variables for empirical finance.

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

Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)

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

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

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

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