fama-french
Here are 28 public repositories matching this topic...
The topic is about using Monte Carlo technique to investigate some linear regression properties of the Fama-French five-factor model.
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Dec 7, 2018 - R
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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Dec 26, 2019 - HTML
Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio returns. The respective factors are used as features in a Machine Learning model and portfolio results are evaluated and compared.
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Feb 3, 2021 - Jupyter Notebook
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.
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Jun 18, 2021 - Python
Final Project of Capital Markets
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May 31, 2022 - TeX
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
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Jun 5, 2022 - Python
一个基于中国市场的Fama-French五因子实证研究
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Jul 18, 2022 - Python
I analysed financial data from financial markets using developed models
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Sep 23, 2022 - R
Application and data for analyzing and structuring portfolios for climate investing.
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Oct 20, 2022 - JavaScript
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
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Nov 22, 2022 - Python
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
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Feb 9, 2023 - Python
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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Aug 8, 2023 - HTML
Exploring the Relationship between Stock Returns and Social Media Sentiments
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Sep 4, 2023 - Jupyter Notebook
Machine Learning & Python in Finance
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Dec 15, 2023 - Jupyter Notebook
Source code of the article Calculate Required Rate of Return With the Fama-French Three-Factor Model
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Jan 6, 2024 - Jupyter Notebook
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