Repository for the AugmentedPCA Python package.

This is a tentative pytorch implementation of the paper "Time Series Deconfounder: Estimating Treatment Effects over Time in the Presence of Hidden Confounders"

Package to build universes for factor pricing model

Package to build risk model for factor pricing model

Data Science Project: Replication of "Forest Through the Trees: Building Cross-Sections of Stock Returns" - creation of assets to test validity of factor models with Python

This repository shows the application of PCA technique for risk factor modelling of financial securities.