Package to build risk model for factor pricing model
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Jul 26, 2024 - Python
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factor-model
Here are 12 public repositories matching this topic...
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
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Jul 30, 2023 - Python
This repository shows the application of PCA technique for risk factor modelling of financial securities.
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Apr 29, 2020 - Python
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
Package to build universes for factor pricing model
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Nov 15, 2023 - Python
This is a tentative pytorch implementation of the paper "Time Series Deconfounder: Estimating Treatment Effects over Time in the Presence of Hidden Confounders"
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Apr 12, 2022 - Python
Replication code for "The Shape of Beta: Industry Factor Structure and Crisis Risk Premium" (Woo & Kim, 2026)
python asset-pricing fama-french financial-economics crsp wrds factor-model beta-estimation crisis-risk-premium industry-shrinkage
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Mar 5, 2026 - Python
此為機器學習與財務計量專案的環節之一
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Apr 3, 2025 - Python
Academically rigorous implementation of the Fama-French (1993) three-factor model using WRDS (CRSP + Compustat) data.
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Mar 6, 2026 - Python
A fully reproducible 50‑signal systematic equity strategy with clean TRAIN → VALIDATION → LOCKED → HOLDOUT methodology. Built for the Quanta Fellowship.
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Jan 2, 2026 - Python
Core portfolio risk analysis engine - business logic and documentation
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Mar 29, 2026 - Python
Academically rigorous implementation of the Fama-French (2015) five-factor model using WRDS (CRSP + Compustat) data.
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Mar 6, 2026 - Python
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