Fama-French models, idiosyncratic volatility, event study
capm fama-macbeth investment-analysis efficient-frontier multifactor-model empirical-finance event-studies
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#
empirical-finance
Here are 13 public repositories matching this topic...
Codes to clean data and construct variables for empirical finance.
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- Python
An introduction to database and data management in empirical finance
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- Python
An introduction to popular databases in empirical finance research.
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- Jupyter Notebook
A toolkit for asset pricing research
portfolio finance pricing quant empirical momentum quantitative-finance quantitative asset-pricing factor-models capm fama-french portfolio-management empirical-finance portfolio-sorting
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- Python
A Python tool for extracting stock repurchase program data from SEC 10-Q and 10-K filings
nlp machine-learning natural-language-processing web-scraping data-extraction quantitative-finance sec-edgar 10-k unstructured-data sec-filings empirical-finance financial-data-extraction 10-q share-repurchase 10-k-filings repurchase-program
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- Python
An end-to-end Automated ML pipeline for empirical asset pricing & DJI forecasting. Bridges econometric rigor with modern AI using H2O AutoML. Features include advanced preprocessing (Winsorization, ADF), statistical validation via the Diebold-Mariano test, and model explainability using SHAP values. Optimized for reproducible quantitative research.
econometrics quantitative-finance asset-pricing automl stock-market-prediction machine-learning-finance shap empirical-finance h2o-ai-cloud financial-time-series
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- Jupyter Notebook
Quantile Local Projections linking DeFi liquidation shocks to ETH tail risk. Empirical evidence for endogenous market fragility (2021-2025)
crypto research replication ethereum cryptocurrency research-project empirical leverage quantile-regression empirical-research local-projection defi empirical-finance tail-risk reasearch-papers liquidations tail-risk-dynamics crypto-finance leverage-cycle
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End-to-End Python implementation of Mo et al.'s (2025) ACT-Tensor methodology; a tensor completion framework for financial dataset imputation. Implements cluster-based CP decomposition, HOSVD factor extraction, temporal smoothing (CMA/EMA/Kalman), and downstream asset pricing evaluation. Transforms sparse data into dense machine readable data.
python machine-learning reproducible-research clustering quantitative-finance financial-data kalman-filter asset-pricing tensor-decomposition tensor-completion factor-models cp-decomposition time-series-analysis portfolio-analysis crsp compustat multilinear-algebra empirical-finance missing-data-imputation research-replication
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This project replicates the connected-firm momentum factor in Ali & Hirshleifer (2020), extends the framework to a quarterly frequency, and applies the same signal construction, portfolio sorts, and factor regressions to an updated 2016–2026 sample.
python momentum quantitative-finance asset-pricing factor-investing empirical-finance analyst-coverage
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- Python
Who funds TGA rebuilds? Auction-schedule surprise identification of Treasury funding channels. MMFs + ON RRP.
tga federal-reserve treasury financial-economics monetary-policy empirical-finance fiscal-policy money-market-funds local-projections on-rrp
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- Python
Empirical study of election-year effects on October VIX returns using regression analysis and bootstrap inference.
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- Jupyter Notebook
📈 Forecast daily log-returns of the Dow Jones Industrial Average using an Automated Machine Learning pipeline that combines economic data and computational techniques.
econometrics quantitative-finance asset-pricing automl stock-market-prediction machine-learning-finance shap empirical-finance h2o-ai-cloud financial-time-series
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- Jupyter Notebook
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