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stochastic-discount-factor

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spirituslab / ml-alpha

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Cross-sectional Transformer and FFN for stock return prediction and alpha generation. Implements GKX (2020) NN5 replication and MSRR loss (Kelly et al. 2025) for direct portfolio Sharpe optimization. Avg SDF Sharpe 2.05, significant alpha (t=5.34) unexplained by FF5+Momentum.

machine-learning deep-learning neural-network signal-processing pytorch transformer portfolio-optimization quantitative-finance cross-sectional asset-pricing stock-prediction self-attention return-prediction factor-investing empirical-finance quant-research quant-finance alpha-research alpha-generation stochastic-discount-factor
  • Updated Apr 13, 2026
  • Python

chirindaopensource / the_value_of_information

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End-to-end Python replication of 'The Value of Information: A Puzzle' (Kadan et. al, 2026). Estimates equilibrium dollar value of private information in US equity markets via discrete quadratic covariation of 1-min NYSE TAQ price changes & signed order flow. Implements CLNV trade signing, Amihud filtering, 2-way FE regressions, & SDF entropy bounds

python mathematical-finance market-microstructure panel-regression event-study financial-econometrics fama-french crsp compustat replication-study nyse-taq information-asymmetry order-flow linearmodels empirical-asset-pricing trade-classification price-impact stochastic-discount-factor quadratic-covariation kyle-back-equilibrium
  • Updated May 17, 2026
  • Jupyter Notebook

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