The repository contains the source code used in "An analysis of investing in U.S. equities with the application of quantitative factor portfolios".
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Updated
Dec 26, 2019 - HTML
The repository contains the source code used in "An analysis of investing in U.S. equities with the application of quantitative factor portfolios".
This project involves forecasting the price direction of public US companies' market index (VTI) using the Fama-French Five-Factor Model. The dataset includes VTI's daily returns and various factors. The project involves data preprocessing, exploratory data analysis, and building forecasting models.
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