hkuhn / multifactor-modelsLinks
A Survey of Multi-Factor Models
☆40Updated 10 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…☆75Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Updated 8 years ago
- High Frequency Trading☆111Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆235Updated 3 years ago
- ☆106Updated 8 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- portfolio construction and quantitative analysis☆144Updated 10 years ago
- ☆73Updated 3 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆92Updated 2 years ago
- Market Making / Stat Arb strategy☆61Updated 8 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization☆30Updated 9 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆72Updated 9 years ago
- ☆216Updated 8 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Compute VIX and related volatility indices☆108Updated last year
- Backtest result archive for Momentum Trading Strategies☆64Updated 6 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆47Updated 9 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- AI based alpha research for trading☆50Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- the book with script☆80Updated 8 years ago
- Quantopian Pairs Trading algorithm implementation.☆64Updated 8 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆166Updated 8 years ago