py-mlfactor

Rewriting the code in "Machine Learning for Factor Investing" by Guillaume Coqueret and Tony Guida in Python purely for my own learning and practice.

Book can be found at: http://www.mlfactor.com/

The authors' original code (in R) can be found at: https://github.com/shokru/mlfactor.github.io

The data used can be found at: https://github.com/shokru/mlfactor.github.io/blob/master/material/data_ml.RData