Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
-
Updated
May 22, 2019 - Python
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
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.
Codes to clean data and construct variables for empirical finance.
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
Replication of the methodology of Daniel and Titman (1997) for constructing pre-formation and constant-weight allocation Fama-French factors.
A package to sort stocks into portfolios and calculate weighted-average returns.
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
Repository to perform portfolio sorts for empirical asset pricing
Interpolating Neural Networks in Asset Pricing Data. Supports Distributed Training in TensorFlow.
A toolkit for asset pricing research
The repository documents the implementation of Portfolio Analysis from 'Empirical asset pricing' using Python
Retrieve data for various multi-factor asset pricing models.
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
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
Risk Premia Estimation (FamaMacbeth and Three-pass)
Add a description, image, and links to the asset-pricing topic page so that developers can more easily learn about it.
To associate your repository with the asset-pricing topic, visit your repo's landing page and select "manage topics."