bang-js / Replica_Taming_the_Factor_ZooLinks
Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"
☆10Updated last year
Alternatives and similar repositories for Replica_Taming_the_Factor_Zoo
Users that are interested in Replica_Taming_the_Factor_Zoo are comparing it to the libraries listed below
Sorting:
- Multi-Factor model with regression method☆9Updated 6 years ago
- 雪球结构产品定价☆29Updated last year
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 9 months ago
- 量化研究-多因子模型☆21Updated last year
- 多因子模型相关☆22Updated 3 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆13Updated this week
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆34Updated 2 years ago
- 计算Barra因子及其收益率☆11Updated 3 years ago
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 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。☆18Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- ☆12Updated 4 years ago
- 多因子选股框架☆23Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆18Updated 5 years ago
- ☆11Updated 4 years ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- Risk Parity and Factors Model on multi asseet management☆22Updated 4 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Implementing 'Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation' based on …☆13Updated 2 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- 一些研报的复现☆12Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month