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factorem

Construct classic asset pricing factors.

fama-french-funds

An exercise similar to Fama, French (2010). Goal is to identify and evaluate the luck vs skill of active managers.

fama_asset_pricing_test

The script performs the classic Fama asset pricing test of a set of factors against multiple set of portfolios. The script is flexible, the user can pass a set of factors in a file a multiple set of test asset portfolios in another file. All the test summary metrics in Fama and French (2015, 2016) are calcluated.

farmselect

Factor Adjusted Robust Model Selection

farmtest

Factor Adjusted Robust Multiple Testing

fatbvars

fattvpvar

favar

VAR and FAVAR models in R for 8th semester project

fbi

Factor-Based Imputation for Missing Data

fcomplete

Longitudinal data analysis using matrix completion

ff5-measures-construction-and-factors-replication

ff5_augmented_by_new_factor_test_assets_and_factors_builder

fgv_empirical_asset_pricing

This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of economics at FGV-SP on 2020 by prof. Marcelo Fernandes.

figasr

Lexicon-based Sentiment Analysis for Economic and Financial Applications in R

finance

💰📈📉一些与金融相关的Stata命令

finance-1

Study resources for quantitative finance

financer

Financial analysis with R

financial-frictions

Interactive guide to Fernández-Villaverde, Hurtado, and Nuño (2019): "Financial Frictions and the Wealth Distribution".

financial-frictions-course

financial-machine-learning

A curated list of practical financial machine learning tools and applications.

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

financialdatasets

SmoothNLP 金融文本数据集(公开) Public Financial Datasets for NLP Researches Only

financialfragilitywithsam

Matlab code for "Financial Fragility With SAM?", by Daniel Greenwald, Tim Landvoigt, and Stijn Van Nieuwerburgh

financialnetworks

This repository provides the code, the data and some outputs for the project: Financial network estimation for measuring bank interconnectedness.

finmarkets

Financial Markets Microstructure course (UCPH, Masters in Econ)

finrl

Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance. NeurIPS 2020 & ICAIF 2021. 🔥

firm-characteristics-and-chinese-stock-market

It is a project that conducts a study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics and also uses “big-data” econometric methods.

firmlevelrisk

Example code to create firm level risk in Hassan et al. (2020)

fixincome_predicting_bond_excess_return

fmregression

Fama-MacBeth regression to test the validity of intra-day risk factors.