UePG-21 / Barra-risk-modelLinks
Implemented some mathematical processings used in the Barra risk model
☆37Updated 2 years ago
Alternatives and similar repositories for Barra-risk-model
Users that are interested in Barra-risk-model are comparing it to the libraries listed below
Sorting:
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆76Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆72Updated 8 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆69Updated 4 months ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆69Updated 3 years ago
- This repository hosts my reading notes for academic papers.☆97Updated 4 years ago
- Barra Multifactor Model☆160Updated 5 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆67Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆65Updated last year
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆35Updated last year
- Barra-Multiple-factor-risk-model☆148Updated 8 years ago
- convertible bond pricing project based on Monte Carlo simulation☆18Updated 2 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆47Updated 6 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆131Updated 2 years ago
- ☆53Updated 8 years ago
- 因子回测框架☆141Updated 2 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆142Updated 2 years ago
- ☆117Updated 6 years ago
- 因子构建、单因子测试☆72Updated 4 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆215Updated 2 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆86Updated last year
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆43Updated 2 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- ☆210Updated 2 years ago
- Implementation of 5-factor Fama French Model☆138Updated 4 years ago
- 多因子模型相关☆23Updated 4 years ago
- High frequency factors based on order and trade data.☆70Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆94Updated 4 years ago