pig618/amf_gibs
The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.
This project helps quantitative researchers and financial economists analyze asset prices more effectively. It takes historical stock returns data and produces an Adaptive Multi-Factor (AMF) asset pricing model, which identifies key underlying factors driving asset returns. The output provides a structured understanding of asset behavior, useful for academic research and potentially for developing investment strategies.
No commits in the last 6 months.
Use this if you are a financial researcher or quantitative analyst looking to build or test advanced asset pricing models and identify underlying market factors from historical stock data.
Not ideal if you are a retail investor seeking ready-made trading signals or a non-technical user without a background in quantitative finance or programming.
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10
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2
Language
R
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Category
Last pushed
Dec 12, 2021
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