Extract data from a wide range of Internet sources into a pandas DataFrame.
Application and data for analyzing and structuring portfolios for climate investing.
一个基于中国市场的Fama-French五因子实证研究
Open-source investment analytics platform bridging academic research and retail finance. Features include portfolio risk decomposition [Fama-French Five Factor Model], retirement sustainability modeling [Block Bootstrap Monte Carlo], max drawdown/CVaR dashboards, and risk-return optimisation [Markowitz, Ledoit-Wolf] via an intuitive user interface.
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio returns. The respective factors are used as features in a Machine Learning model and portfolio results are evaluated and compared.
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.
Exploring the Relationship between Stock Returns and Social Media Sentiments
Global minimum-variance portfolios under unbiased, single-factor and three-factor covariance estimators.
Deep Reinforcement Learning trading strategies: Double DQN with Transformer Attention + Multi-Factor Model (Fama-French inspired). Features adaptive risk management and volatility targeting.
Source code of the article Calculate Required Rate of Return With the Fama-French Three-Factor Model
A toolkit for asset pricing research
CAPM and SML analysis on STOXX 600, and bootstrap luck distribution to separate alpha from noise on NASDAQ stocks
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
Factor model analysis of ARK Invest ETFs to assess manager skill vs systematic risk exposure
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.
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