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An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
Bayesian Multivariate GARCH
Compound rate for a 252-day year
Dynamic Nelson-Siegel in two steps
Econometria de Séries Temporais - Programa de Pós-Graduação em Economia da UFSC
My replication of financial papers.
Code to analyze and track mutual funds and ETFs. Output should include: factor exposures, style analysis, performance both relative to a benchmark and absolute.
Dynamic Nelson-Siegel in one step
Dynamic Nelson-Siegel and Svensson in one step
This is a genetic algorithm implemented in python to solve the LPPL equation looking for market bubbles
Basic implementation of Sornette's LPPL in R
Nontrivial MC Applications including MCMC & MC Regime Switching Models
Multivariate Time Series Package for R
Research and Backtests I have been working on...enjoy
Rewriting the code in "Machine Learning for Factor Investing" in Python
Python Implementation of Reinforcement Learning: An Introduction
Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
SAS, R and Python codes for Statistics of Financial Markets.
Alguns dos diversos projetos apresentados em Econometria, incluindo relatórios em R Markdown de cada atividade realizada. Em conjunto com os trabalhos finais considerações a respeito do Modelo de Precificação de Ativos de Capital (CAPM) em comparação ao Modelo de Três Fatores de Fama-French.
A trading algorithm that utilizes GARCH, MLE, and Monte Carlo.
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.