This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total portfolio risk using daily stock data from China.
☆73Feb 15, 2018Updated 8 years ago
Alternatives and similar repositories for MultipleFactorRiskModel
Users that are interested in MultipleFactorRiskModel are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆124Jan 15, 2020Updated 6 years ago
- A library for portfolio optimization algorithms with python interface.☆31Jan 9, 2021Updated 5 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆399Aug 7, 2018Updated 8 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆13May 30, 2021Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆70Aug 8, 2017Updated 9 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Oct 1, 2018Updated 8 years ago
- Barra-Multiple-factor-risk-model☆157Apr 7, 2017Updated 9 years ago
- ☆11Oct 24, 2025Updated last year
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆12Jul 19, 2019Updated 7 years ago
- Basic event driven platform for backtesting financial strategies in C++☆13Jul 27, 2015Updated 11 years ago
- CVXPY Portfolio Optimization Sample☆45Feb 4, 2017Updated 9 years ago
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 10 years ago
- Three Pass Regression Filter for R☆16Aug 25, 2015Updated 11 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- 基于Matlab的事件驱动量化回测框架☆31Nov 1, 2017Updated 8 years ago
- Stock portfolio optimizer in Python based on least correlated moving sharpe / sortino ratios.☆54May 6, 2015Updated 11 years ago
- select stock automatically, trade manually☆12Jul 26, 2020Updated 6 years ago
- Stock trading using timing strategy (股票的择时交易): mainly use short & long moving average of stock price and also analyze the performance of …☆12Feb 26, 2020Updated 6 years ago
- Provide risk forecasts by Barra China Equity Model☆184Aug 21, 2018Updated 8 years ago
- A Survey of Multi-Factor Models☆41Jul 17, 2015Updated 11 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 7 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆13Jul 19, 2018Updated 8 years ago
- The strategy-backtesting repository will hold the event driven python backtester. This program will test algorithmic strategies and pro…☆18Dec 11, 2015Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Financial Portfolio Optimization Routines in Python☆312Aug 31, 2022Updated 4 years ago
- ☆17Jul 29, 2015Updated 11 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆239Sep 2, 2022Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 6 years ago
- Implementing features from "Advances in Financial Machine Learning" by Marcos López del Prado in a financial algorithm using Enigma Catal…☆11Jul 13, 2020Updated 6 years ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 8 years ago
- Barra Multifactor Model☆171Mar 18, 2020Updated 6 years ago
- Interface between R and GGobi☆13Jul 16, 2025Updated last year
- This Python project scrapes asset information from Investing.com by visiting the websites and crawling it down into SQL with time, ticker…☆13Feb 15, 2018Updated 8 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- 波动率指数的计算，修改自https://github.com/Alexdachen/ivix☆18Mar 21, 2019Updated 7 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆14Apr 25, 2019Updated 7 years ago
- factorset: 提供中国A股市场因子集合，包含各类常用及特异因子计算方法，持续更新中。提供轻量级因子计算框架，高可扩展。持续更新中。☆43May 25, 2018Updated 8 years ago
- Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios☆22May 3, 2014Updated 12 years ago
- Quantative Trading, building a trading strategy by generating alpha, optimizing a portfolio.☆26Jul 6, 2023Updated 3 years ago
- Alpha研究平台☆21Sep 6, 2021Updated 5 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆26Mar 10, 2018Updated 8 years ago