Final Project of Capital Markets

Financial Modeling in Python

Fama French models on S&P 500 dataset

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.

Exploring the Relationship between Stock Returns and Social Media Sentiments

Testing Portfolios to assess the accuracy of financial models I have built

Includes Report & Adjustment of weights

Machine Learning & Python in Finance

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.

I analysed financial data from financial markets using developed models

The repository contains the source code used in "An analysis of investing in U.S. equities with the application of quantitative factor portfolios".

The topic is about using Monte Carlo technique to investigate some linear regression properties of the Fama-French five-factor model.

Source code of the article Calculate Required Rate of Return With the Fama-French Three-Factor Model

Regression base on 3 factors Fama-French theory.

A project to estimate a stock's risk with a linear regression model in Python, using the Fama-French Carhart model and live data from Yahoo Finance.

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

A toolkit for asset pricing research

SAS Code for Fama French SIC Industry Groups

基于fama-French的三因子模型选股系统