This repo is for storing my replications of financial papers.
- Maio, Santa-Clara (2012). Multifactor models and their consistency with ICAPM.
- Daniel, Jagannathan, Kim (2012). Tail Risk in Momentum Strategy Returns
- Protective asset allocation strategy
- Dudler, Gmuer, Malamud (2014). Risk-adjusted Time Series Momentum.
- Ken French's website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
- Zipline data
- Oanda for forex strategies