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
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.
A toolkit for asset pricing research
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
Source code of the article Calculate Required Rate of Return With the Fama-French Three-Factor Model
Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.
📈 Fama French and ML models on S&P 500 dataset
The topic is about using Monte Carlo technique to investigate some linear regression properties of the Fama-French five-factor model.
The repository contains the source code used in "An analysis of investing in U.S. equities with the application of quantitative factor portfolios".
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.
Financial Modeling in Python
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