UePG-21 / Barra-risk-modelLinks
Implemented some mathematical processings used in the Barra risk model
☆30Updated 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:
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆65Updated 7 years ago
- 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…☆69Updated 4 years ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆64Updated last month
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆35Updated last year
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆67Updated 3 years ago
- Barra Multifactor Model☆149Updated 5 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- Barra-Multiple-factor-risk-model☆144Updated 8 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- 多因子模型相关☆22Updated 4 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☆62Updated last year
- ☆52Updated 8 years ago
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆128Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆20Updated last year
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated last year
- Mining technical factors based on symbolic regression via genetic algorithm☆196Updated 2 years ago
- ☆205Updated 2 years ago
- 因子回测框架☆134Updated 2 years ago
- Recurrent Neural Network for predicting Stock Returns☆123Updated 4 years ago
- DCC GARCH modeling in Python☆97Updated 5 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。☆136Updated last year
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆258Updated 2 years ago
- ☆112Updated 6 years ago
- 改进gplearn,主要使用在股票公式挖掘☆98Updated 5 years ago
- 因子构建、单因子测试☆72Updated 4 years ago
- Provide risk forecasts by Barra China Equity Model☆167Updated 7 years ago