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anomaliesphdmodule

Resources for a PhD class module focused on anomalies.

bap

Bayesian Analysis with Python (Second Edition)

class-repo

AEM 7130: Dynamic Optimization/Computational Methods

crosssection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

euronext_outage.github.io

ipca

Instrumented Principal Components Analysis

joe-zh-dev

Config files for my GitHub profile.

ml_codes

Empirical Data and Some Simulation Codes

mlfactor.github.io

Website dedicated to a book on machine learning for factor investing

mlfinlab

MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

prml

Repository of notes, code and notebooks in Python for the book Pattern Recognition and Machine Learning by Christopher Bishop

prml-matlab

Pattern recognition and machine learning toolbox

probabilistic-and-bayesian-pca

Principal Component Analysis from a statistical perspective

python_prob_pca_tutorial

Tutorial for probabilistic PCA in Python and Mathematica

replicationcrisis

Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2021)

sta-663-2020

sta-663-2021

Computational Statistics and Statistical Computing