Kiploks Engine is an open-source TypeScript engine for deterministic backtest and walk-forward analysis (WFA) of algorithmic trading strategies, published as @kiploks/engine-* packages under Apache 2.0.

Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

This course delves into financial forecasting, covering predictive regression, multi-horizon models, and principal components for improved accuracy, with a focus on rigorous out-of-sample analysis.

Factor-based MVP portfolio optimizer using Fama-French 5-factor model. Achieves 11% Sharpe improvement over sample covariance with 27% lower max drawdown in 10-year out-of-sample backtest. Python | scipy | optimization

It contains codes and data to replicate paper on Spatial bootstrapped microeconometrics forecasting for out-of-sample geo-locations in big data

This project aims to predict future yen prices using time-series models such as ARIMA as well as making out of sample and in sample predictions on Python

Empirical forecasting of the equity risk premium using historical financial predictors and time-series regression methods.

Usage of model averaging to improve total credit gap as predictor of financial crises