An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.
☆124Jan 15, 2020Updated 6 years ago
Alternatives and similar repositories for Barra-Model
Users that are interested in Barra-Model are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Barra-Multiple-factor-risk-model☆151Apr 7, 2017Updated 8 years ago
- Provide risk forecasts by Barra China Equity Model☆174Aug 21, 2018Updated 7 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆74Feb 15, 2018Updated 8 years ago
- Barra Multifactor Model☆162Mar 18, 2020Updated 6 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Jul 19, 2018Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆73Dec 20, 2017Updated 8 years ago
- Factor model referred by the Barra Model (USE4/CNE5) and decomposition of China mutual/private funds.☆12Jul 24, 2018Updated 7 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆385Aug 7, 2018Updated 7 years ago
- ☆19Mar 23, 2020Updated 6 years ago
- A Survey of Multi-Factor Models☆40Jul 17, 2015Updated 10 years ago
- a python module and user interface of a user-defined Barra risk model☆11Jul 1, 2019Updated 6 years ago
- 聚宽单因子分析工具☆621Feb 20, 2025Updated last year
- A library for portfolio optimization algorithms with python interface.☆31Jan 9, 2021Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Dec 31, 2018Updated 7 years ago
- A utility for fundamentals data of China commodity futures☆299Mar 31, 2020Updated 5 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆130Jul 6, 2023Updated 2 years ago
- Financial Portfolio Optimization Routines in Python☆313Aug 31, 2022Updated 3 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆238Sep 2, 2022Updated 3 years ago
- 沪深300指数增强模型☆90Sep 3, 2019Updated 6 years ago
- Barra CNE6 因子构建☆351Jan 20, 2020Updated 6 years ago
- factorset: 提供中国A股市场因子集合，包含各类常用及特异因子计算方法，持续更新中。提供轻量级因子计算框架，高可扩展。持续更新中。☆40May 25, 2018Updated 7 years ago
- 波动率指数的计算，修改自https://github.com/Alexdachen/ivix☆19Mar 21, 2019Updated 7 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 7 years ago
- Data Adapter for Windpy☆34Jan 15, 2018Updated 8 years ago
- Analytical solution and calibration☆14Aug 1, 2011Updated 14 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- ☆13Jul 19, 2018Updated 7 years ago
- Fama French 3 Factor Model☆42Feb 3, 2016Updated 10 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Dec 27, 2017Updated 8 years ago
- ☆16Nov 16, 2016Updated 9 years ago
- Regime-Switching Model☆20Nov 9, 2017Updated 8 years ago
- Implementation of "Time-varying vector autoregressive models with stochastic volatility" by Kostas Triantafyllopoulos available at arxiv …☆23May 23, 2011Updated 14 years ago
- Research and Backtests I have been working on...enjoy☆72Mar 8, 2021Updated 5 years ago
- Robo Advisor with Black-Litterman☆42Apr 15, 2021Updated 4 years ago
- 获取股票期货等数据☆59Mar 10, 2020Updated 6 years ago
- ☆12Sep 11, 2023Updated 2 years ago
- ☆72Nov 5, 2019Updated 6 years ago
- Fundamental Factor Model based on Bloomberg☆11Mar 30, 2017Updated 8 years ago
- 数据服务：使用聚宽jqdatasdk获取分钟数据按vnpy的Bar格式导入至mongodb中，提供本地数据库数据校验功能☆62Apr 8, 2019Updated 6 years ago