hkuhn / multifactor-modelsLinks
A Survey of Multi-Factor Models
☆40Updated 9 years ago
Alternatives and similar repositories for multifactor-models
Users that are interested in multifactor-models are comparing it to the libraries listed below
Sorting:
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 7 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆66Updated 7 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆131Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction☆30Updated 8 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Quantitative Momentum - Investment Strategy inspired by Wesley Gray and Jack Vogel☆39Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Risk estimation algorithms☆30Updated 6 years ago
- High Frequency Trading☆109Updated 7 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 9 years ago
- ☆51Updated 8 years ago
- Gerber robust statistics for portfolio optimization☆58Updated 2 years ago
- Backtest result archive for Momentum Trading Strategies☆59Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago
- Market Making / Stat Arb strategy☆61Updated 8 years ago
- generic project files☆39Updated 8 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- AI based alpha research for trading☆49Updated 3 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 # 生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品,唯有读书高。🚩🇨🇳🏹🦔中科红旗,…☆48Updated 2 months ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- ☆106Updated 8 years ago
- ☆73Updated 3 years ago
- ☆24Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Algorithmic trading platform for multiple assets☆37Updated 8 years ago