Rewriting the code in "Machine Learning for Factor Investing" in Python
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Feb 9, 2021 - Jupyter Notebook
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factor-investing
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Value or Momentum? Comparing Random Forests, Support Vector Machines, and Multi-layer Perceptrons for Financial Time Series Prediction & Tactical Asset Allocation
finance time-series random-forest value classification logistic-regression support-vector-machine momentum multi-layer-perceptron asset-allocation factor-investing regime-classification
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May 18, 2024 - Jupyter Notebook
众人的因子回测框架 stock factor test
python factor quant quantitative-finance backtest factor-investing factor-backtest factor-research behavioral-finance
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Dec 2, 2025 - Python
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
Calculate technical factors for stocks in an efficient, maintainable and correct way
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Sep 11, 2024 - C++
Web dashboard to visualize equity factor dynamics using solely publicly available data.
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Feb 11, 2021 - 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.
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Oct 20, 2021
VAR vs. LSTM: Multivariate Forecasting of Factor Returns
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May 12, 2023 - Jupyter Notebook
Bridging engineering expertise and investment savvy through hands-on tutorials, insightful financial analysis, and collaborative learning in Python and beyond.
finance data-science investing quantitative-finance investment-analysis factor-investing merton-share financial-visualization
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Jan 15, 2025 - Jupyter Notebook
Machine Learning for Factor Investing: Python Version
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Oct 12, 2022 - Jupyter Notebook
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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Mar 8, 2025 - Jupyter Notebook
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.
value performance-analysis optimisation portfolio-construction back-testing factor-investing momentum-factor low-beta
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May 11, 2023 - Jupyter Notebook
Risk Premia Estimation (FamaMacbeth and Three-pass)
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Jul 8, 2024 - Python
Computing Index Prices and Returns from prices/returns of financial assets
portfolio finance julia financial-analysis index-generator factor-analysis julialang portfolio-analysis factor-investing financial-assets
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Jul 4, 2019 - Julia
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.
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Jul 15, 2023 - Python
Statistical study of information decay in cross-sectional equity factors, focusing on optimal holding horizons and portfolio rebalancing. Replication and extension of “Factor Information Decay: A Global Study” by Emlyn Flint and Rademeyer Vermaak (2021).
cross-sectional asset-pricing portfolio-construction factor-investing quant-finance equity-factors signal-decay
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Jun 20, 2025 - Jupyter Notebook
Python toolkit for estimating global factor loadings, optimizing factor-tilted portfolios, and minimizing tax drag with region-aware factors and account-level location.
personal-finance finance investing stocks quantitative-finance value-investing fama-french factor-investing fama-french-5-factor
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Nov 26, 2025 - Jupyter Notebook
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