fama-french 开源项目推荐（146 个）

pydata /pandas-datareader

将数据从广泛的互联网源提取到pandas DataFrame中。

opentaps /open-climate-investing

Application and data for analyzing and structuring portfolios for climate investing.

husainm97 /quant-lab-alpha

开源投资分析平台，连接学术研究与零售金融。功能包括通过直观用户界面进行投资组合风险分解 [Fama-French 五因子模型]、退休可持续性建模 [Block Bootstrap 蒙特卡洛]、最大回撤/CVaR 仪表板，以及风险收益优化 [Markowitz、Ledoit-Wolf]。

teal0range /FF5

一个基于中国市场的Fama-French五因子实证研究

fkempf92 /FactorData

Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud

fischlerben /Algorithmic-Trading-Project

Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio returns. The respective factors are used as features in a Machine Learning model and portfolio results are evaluated and compared.

ioannisrpt /FamaFrench2015FF5

Replication of the 5 Fama-French factors as constructed in their 2015 paper.

AaronXxx1024 /Fama-French-3-Factor-Model-Implementation

Classical Fama French Three Factor Model.

songzh96 /Fama-French-choose-stock

基于fama-French的三因子模型选股系统

jojo142 /Stress-Testing-Financial-Portfolios

Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.

ed-dehaan /FamaFrenchIndustries

SAS Code for Fama French SIC Industry Groups

he-yufeng /DRL-MultiFactorTrading

Deep Reinforcement Learning trading strategies: Double DQN with Transformer Attention + Multi-Factor Model (Fama-French inspired). Features adaptive risk management and volatility targeting.

injekim /reddit-stock-sentiment

Exploring the Relationship between Stock Returns and Social Media Sentiments

zixload /gmv-portfolio

Global minimum-variance portfolios under unbiased, single-factor and three-factor covariance estimators.

HumanRupert /fama_french_3fm

Source code of the article Calculate Required Rate of Return With the Fama-French Three-Factor Model

yuz0101 /QuantFin

A toolkit for asset pricing research

fenicola /capm-and-luck-distribution

CAPM and SML analysis on STOXX 600, and bootstrap luck distribution to separate alpha from noise on NASDAQ stocks

SteffenGue /GRS_Test

Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)

fenicola /Ark-Invest-skill-or-luck

Factor model analysis of ARK Invest ETFs to assess manager skill vs systematic risk exposure

caralifarrell /Python-Applications-in-Finance

A project to estimate a stock's risk with a linear regression model in Python, using the Fama-French Carhart model and live data from Yahoo Finance.