A curated list of awesome algorithmic trading frameworks, libraries, software and resources
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
PyTorch implementation of FactorVAE
Covariance Matrix Estimation via Factor Models
Package to build risk model for factor pricing model
This repository shows the application of PCA technique for risk factor modelling of financial securities.
Unsupervised learning coupled with applied factor analysis to the five-factor model (FFM), a taxonomy for personality traits used to describe the human personality and psyche, via descriptors of common language and not on neuropsychological experiments. Used kmeans clustering and feature scaling (min-max normalization).
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
Repository for the AugmentedPCA Python package.
Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020
Replication Study on Idiosyncratic Momentum Strategy
Package to build universes for factor pricing model
Factor Modeling
This is a tentative pytorch implementation of the paper "Time Series Deconfounder: Estimating Treatment Effects over Time in the Presence of Hidden Confounders"
此為機器學習與財務計量專案的環節之一
data segmentation and forecasting for VAR-driven factor models
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