Barra-Multiple-factor-risk-model
☆150Apr 7, 2017Updated 8 years ago
Alternatives and similar repositories for Barra-Multiple-factor-risk-model
Users that are interested in Barra-Multiple-factor-risk-model are comparing it to the libraries listed below
Sorting:
- Provide risk forecasts by Barra China Equity Model☆174Aug 21, 2018Updated 7 years ago
- Barra Multifactor Model☆161Mar 18, 2020Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆125Jan 15, 2020Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆72Dec 20, 2017Updated 8 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…☆78Dec 11, 2020Updated 5 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆386Aug 7, 2018Updated 7 years ago
- Barra CNE6 因子构建☆352Jan 20, 2020Updated 6 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Jul 19, 2018Updated 7 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆75Feb 15, 2018Updated 8 years ago
- 沪深300指数增强模型☆90Sep 3, 2019Updated 6 years ago
- ☆13Jul 19, 2018Updated 7 years ago
- 多因子模型相关☆23Jun 16, 2021Updated 4 years ago
- 以wind为数据源的基金单期brinson业绩归因☆87Jan 23, 2020Updated 6 years ago
- Quant finance scripts☆15Apr 13, 2025Updated 10 months ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆17Dec 17, 2022Updated 3 years ago
- ☆150Updated this week
- select stock automatically, trade manually☆12Jul 26, 2020Updated 5 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆17Feb 24, 2019Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Dec 31, 2018Updated 7 years ago
- 基于掘金+万得+聚宽的多因子策略开发框架☆224Oct 26, 2022Updated 3 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆45Apr 16, 2018Updated 7 years ago
- jaqs-fxdayu:股票多因子策略研究和分析框架jaqs拓展包☆126May 8, 2019Updated 6 years ago
- ☆14Feb 25, 2020Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- 多因子指数增强策略/多因子全流程实现☆377Mar 6, 2024Updated 2 years ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 7 years ago
- QARandomPrice_TickPrice_by_OU process☆11May 18, 2020Updated 5 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- 量化FOF框架☆13Mar 8, 2019Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- tools for alpha research☆23Dec 20, 2017Updated 8 years ago
- ☆213Jul 31, 2020Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- Quant Studio Document☆24Feb 25, 2021Updated 5 years ago
- 聚宽单因子分析工具☆616Feb 20, 2025Updated last year
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Python implementation of the Three Pass Regression Filter☆14Aug 25, 2020Updated 5 years ago
- ☆15Jul 9, 2018Updated 7 years ago