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
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Updated
Oct 2, 2024 - Python
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
Additional linear models including instrumental variable and panel data models that are missing from statsmodels.
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method
Codes to clean data and construct variables for empirical finance.
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
A main CTA backtesting system and several research of utilizing machine learning on asset pricing
Replication of the methodology of Daniel and Titman (1997) for constructing pre-formation and constant-weight allocation Fama-French factors.
Retrieve data for various multi-factor asset pricing models.
A toolkit for asset pricing research
Interpolating Neural Networks in Asset Pricing Data. Supports Distributed Training in TensorFlow.
The repository documents the implementation of Portfolio Analysis from 'Empirical asset pricing' using Python
A package to sort stocks into portfolios and calculate weighted-average returns.
Repository to perform portfolio sorts for empirical asset pricing
Risk Premia Estimation (FamaMacbeth and Three-pass)
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)
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