This repository provides code and files for the paper "Heterogeneous beliefs and short selling taxes: A note"
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Updated
Mar 25, 2024 - MATLAB
This repository provides code and files for the paper "Heterogeneous beliefs and short selling taxes: A note"
Repository of the 'Stochastic Volatility Models' Student Lab
Retrieve data for various multi-factor asset pricing models.
Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).
Repository of the 'Pricing under Rough Volatility Models' Student Lab
Estimation and inference for factor models in Asset Pricing.
The repository documents the implementation of Portfolio Analysis from 'Empirical asset pricing' using 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.
Repository to perform portfolio sorts for empirical asset pricing
This code was written for my Linear Algebra capstone project. I analyze the performance of ARK Invest, an investment firm specializing in actively managed Exchange Traded Funds (ETFs). My analysis is motivated by the broader debate over whether active investors can generate superior returns to passive funds.
Asset pricing models for deterministic, gaussian, markov chains, etc
Historical performance of single-sort investment strategies.
thesis research on applying deep learning in asset pricing with Generative Adversarial Model
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
Este repositório contém projetos e análises de Finanças Quantitativas, abrangendo desde modelagem de preços de ativos até otimização de portfólio. Utiliza-se Python para análise de dados, modelagem estatística e visualização.
Financial Portfolios, Modern Portfolio Theory, and Asset Pricing
Interpolating Neural Networks in Asset Pricing Data. Supports Distributed Training in TensorFlow.
A toolkit for asset pricing research
A package to sort stocks into portfolios and calculate weighted-average returns.
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