Estimation Commodity Pricing Factor Models
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Mar 29, 2025 - MATLAB
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factor-models
Here are 24 public repositories matching this topic...
Code for implementing Factor Analysis with BLEssing of dimensionality (FABLE).
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Sep 9, 2024 - C++
Repository for the AugmentedPCA Python package.
machine-learning pca autoencoder dimensionality-reduction representation-learning autoencoders principal-component-analysis linear-models dimension-reduction factor-models adversarial-machine-learning adversarial-autoencoders factor-model adversarial-autoencoder fair-machine-learning supervised-autoencoder augmented-pca augmentedpca supervised-autoencoders
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Nov 8, 2024 - Python
Estimation and inference for factor models in Asset Pricing.
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Mar 11, 2024 - C++
Approximate Factor Models for Artifact Free Correlation Estimation
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Mar 20, 2017 - TeX
Penalized regression for multiple types of many features with missing data using expectation-maximization (EM) algorithm.
integrative-analysis factor-models penalized-regression adaptive-lasso multi-modality-data multi-platform-genomics-studies
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Feb 21, 2024
matrix-valued time series methods
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Jun 8, 2025 - Python
Estimating CAPM Betas of an equally weighted portfolio of Apple and Google from 2016 to 2021
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Sep 1, 2022
This is the code for our publication Inferring Latent States in a Network Influenced by Neighbor Activities: An Undirected Generative Approach, IEEE International Conference on Acoustics, Speech and Signal Processing, New Orleans, LA, 2017
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Jul 5, 2017 - C++
Implemented a statistical factor model using Asymptotic Principal Component Analysis (APCA) and various weighting strategies to improve the performance of a basket of Italian stocks relative to a benchmark (FTSEMIB)
machine-learning pca-analysis trading-strategies quantitative-finance quantitative-trading statistical-models factor-models backtesting
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Nov 17, 2024 - Jupyter Notebook
Jupyter notebooks implementing Finance projects
portfolio-optimization option-pricing algorithmic-trading binomial-model factor-models bollinger-bands efficient-frontier volatility-surface black-scholes-model sharpe-optimal-portfolio momentum-trading mean-reversion-trading
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Dec 22, 2023 - Jupyter Notebook
A toolkit for asset pricing research
portfolio finance pricing quant empirical momentum quantitative-finance quantitative asset-pricing factor-models capm fama-french portfolio-management empirical-finance portfolio-sorting
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Aug 19, 2024 - Python
A repo to explore quantitative finance models, libraries and tooling.
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Sep 14, 2019 - Jupyter Notebook
An R package for Factor Model Asset Pricing
finance rcpparmadillo factor-models risk-premium factor-selection identification-tests misspecification
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Jul 29, 2024 - HTML
R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.
big-data time-series high-dimensional-data state-space econometrics kalman-filter factor-models google-trends high-dimensional unemployment official-statistics
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Nov 5, 2020 - R
Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).
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Oct 8, 2022 - Julia
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
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Nov 20, 2024 - R
DRIP Asset Allocation is a collection of model libraries for MPT framework, Black Litterman Strategy Incorporator, Holdings Constraint, and Transaction Costs.
java drip asset-allocation portfolio-construction optimal-execution drip-asset-allocation black-litterman constrained-portfolio-optimization factor-models idzorek almgren-chriss optimal-transaction transaction-cost optimal-dynamic-portfolio multi-period-portfolio-optimization stochastic-liquidity-volatility market-impact-models principal-program-trades mean-variance-optimization
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Sep 26, 2018 - CSS
Implements different approaches to tactical and strategic asset allocation
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Dec 23, 2024 - Jupyter Notebook
Work with trained factor models in Python
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Oct 22, 2024 - Jupyter Notebook
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