18 Python notebooks

This page hosts the Jupyter notebooks that make the Python version of the monograph (in its first edition).
Below, the official notebooks are naturally split into chapters.
We also provide an independent implementation by Zheyuan Shen, hosted on Google Drive.

Chapter 1: Notations & data

Chapter 2: Introduction

Chapter 3: Factor investing and asset pricing anomalies

Chapter 4: Data pre-processing

Chapter 5: Penalized regressions

Chapter 6: Tree-based methods

Chapter 7: Neural networks

Chapter 8: Support vector machines