UePG-21 / Barra-risk-modelLinks
Implemented some mathematical processings used in the Barra risk model
☆33Updated 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…☆71Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆68Updated 7 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆67Updated 2 months ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆91Updated 4 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆66Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Barra Multifactor Model☆155Updated 5 years ago
- Barra-Multiple-factor-risk-model☆145Updated 8 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆19Updated last year
- ☆52Updated 8 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆130Updated 2 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆35Updated last year
- Mining technical factors based on symbolic regression via genetic algorithm☆205Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆80Updated 5 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Implementation of 5-factor Fama French Model☆136Updated 4 years ago
- 因子构建、单因子测试☆73Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- DCC GARCH modeling in Python☆100Updated 5 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆47Updated 5 years ago
- High frequency factors based on order and trade data.☆67Updated last year
- 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☆64Updated last year
- 改进gplearn,主要使用在股票公式挖掘☆98Updated 5 years ago
- ☆115Updated 6 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。☆140Updated last year
- Implementation of (Re-)Imag(in)ing Price Trends☆80Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Implementing 'Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation' based on …☆14Updated 2 years ago