changshun / Barra-Model
An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.
☆63Updated 6 years ago
Related projects ⓘ
Alternatives and complementary repositories for Barra-Model
- 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…☆57Updated 3 years ago
- Barra Multifactor Model☆135Updated 4 years ago
- Barra-Multiple-factor-risk-model☆129Updated 7 years ago
- Provide risk forecasts by Barra China Equity Model☆160Updated 6 years ago
- 多因子模型相关☆21Updated 3 years ago
- 基于万矿平台，对alpha101因子进行测试并构造多因子策略☆83Updated 5 years ago
- 因子构建、单因子测试☆66Updated 3 years ago
- Implemented some mathematical processings used in the Barra risk model☆25Updated 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☆38Updated last year
- 沪深300指数增强模型☆75Updated 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。☆102Updated 10 months ago
- High frequency factors based on order and trade data.☆32Updated 11 months ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆120Updated 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☆54Updated 9 months ago
- 以wind为数据源的基金单期brinson业绩归因☆75Updated 4 years ago
- 因子回测框架☆91Updated last year
- Python Data Analysis and Financial Calculation☆63Updated 5 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆42Updated 4 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆29Updated 2 months ago
- 沪深300指数纯因子组合构建☆48Updated 5 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆55Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆32Updated 2 years ago
- BackTrader多因子回测框架 （Multi-factors backtesting framework for BackTrader）☆92Updated 2 years ago
- Quant Studio Document☆22Updated 3 years ago
- stock☆80Updated 3 years ago
- Barra CNE6 因子构建☆250Updated 4 years ago
- ☆137Updated last week
- A new formulaic alpha mining framework for quantitative investment☆81Updated 2 months ago
- 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☆26Updated 2 years ago
- 多因子策略回测框架☆31Updated 5 years ago