Rewriting the code in "Machine Learning for Factor Investing" in Python

众人的因子回测框架 stock factor test

Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & Tactical Asset Allocation

Calculate technical factors for stocks in an efficient, maintainable and correct way

Web dashboard to visualize equity factor dynamics using solely publicly available data.

Data Science Project: Replication of "Forest Through the Trees: Building Cross-Sections of Stock Returns" - creation of assets to test validity of factor models with Python

In this study, I empirically and statistically investigate the credibility of common asset pricing beliefs using data from S&P 500® constituents from January 2010–December 2020.

VAR vs. LSTM: Multivariate Forecasting of Factor Returns

Bridging engineering expertise and investment savvy through hands-on tutorials, insightful financial analysis, and collaborative learning in Python and beyond.

Machine Learning for Factor Investing: Python Version

Risk Premia Estimation (FamaMacbeth and Three-pass)

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.

University Project: constructing portfolios by blending different types of factor portfolios (low-beta, value, and momentum). We investigate different techniques to weight our portfolio and calculating a combined score.

AQR Asset Management datasets in R

Computing Index Prices and Returns from prices/returns of financial assets

Python code for Swade et al. (2023) "Why Do Equally Weighted Portfolio Beat Value-Weighted Ones?" The Journal of Portfolio Management, 49 (5), 167–187.

Assignment3 is the application of factor investing

Factor Investing Tracker app | streamlit

Cluster/Principal Component Analysis of Goldman Sachs Indices For Grouping into More Organized and Easily Allocated Factor Investments.