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alphatrading

An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.

bmgarch

Bayesian Multivariate GARCH

brazil_yield_curve

Compound rate for a 252-day year

connectednessapproach

dynamic-nelson-siegel

Dynamic Nelson-Siegel in two steps

econometriaii

Econometria de Séries Temporais - Programa de Pós-Graduação em Economia da UFSC

finance-papers-replication

My replication of financial papers.

finance_notebooks

fundanalysis

Code to analyze and track mutual funds and ETFs. Output should include: factor exposures, style analysis, performance both relative to a benchmark and absolute.

kalman-filter-dynamic-nelson-siegel

Dynamic Nelson-Siegel in one step

kalman-filter-dynamic-nelson-siegel-and-svensson

Dynamic Nelson-Siegel and Svensson in one step

lppl

This is a genetic algorithm implemented in python to solve the LPPL equation looking for market bubbles

lppl-bitcoin-in-r

lppl-model-r

Basic implementation of Sornette's LPPL in R

markov-chain-applications

Nontrivial MC Applications including MCMC & MC Regime Switching Models

mts

Multivariate Time Series Package for R

open-code-community

portfoliotechniques

public_research_and_backtests

Research and Backtests I have been working on...enjoy

py-mlfactor

Rewriting the code in "Machine Learning for Factor Investing" in Python

reinforcement-learning-an-introduction

Python Implementation of Reinforcement Learning: An Introduction

rnn_garch

Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model

stat_fin_markets

SAS, R and Python codes for Statistics of Financial Markets.

trabalhos-em-econometria

Alguns dos diversos projetos apresentados em Econometria, incluindo relatórios em R Markdown de cada atividade realizada. Em conjunto com os trabalhos finais considerações a respeito do Modelo de Precificação de Ativos de Capital (CAPM) em comparação ao Modelo de Três Fatores de Fama-French.

trading-algorithm

A trading algorithm that utilizes GARCH, MLE, and Monte Carlo.