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.
☆75Feb 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
Sorting:
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆125Jan 15, 2020Updated 6 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
- 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
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Aug 8, 2017Updated 8 years ago
- Barra-Multiple-factor-risk-model☆150Apr 7, 2017Updated 8 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
- A Java API for automated trading, market data, and historical data retrieval.☆20Jun 24, 2020Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Oct 1, 2018Updated 7 years ago
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 9 years ago
- MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…☆15Jun 1, 2018Updated 7 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
- CVXPY Portfolio Optimization Sample☆45Feb 4, 2017Updated 9 years ago
- A library for portfolio optimization algorithms with python interface.☆31Jan 9, 2021Updated 5 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
- Risk estimation algorithms☆30Aug 4, 2018Updated 7 years ago
- 抓取东方财富网龙虎榜☆17Jun 29, 2016Updated 9 years ago
- Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value …☆18Aug 31, 2025Updated 6 months ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Nov 28, 2017Updated 8 years ago
- ☆17Jul 29, 2015Updated 10 years ago
- ☆11Oct 24, 2025Updated 4 months ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- 波动率指数的计算，修改自https://github.com/Alexdachen/ivix☆19Mar 21, 2019Updated 6 years ago
- select stock automatically, trade manually☆12Jul 26, 2020Updated 5 years ago
- ☆10Jul 21, 2019Updated 6 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆28Mar 10, 2018Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Dec 31, 2018Updated 7 years ago
- The PyTorch implementation of "Modeling Financial Time Series using LSTM with Trainable Initial Hidden States"☆11Jul 15, 2020Updated 5 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆14Feb 6, 2026Updated 3 weeks ago
- An open-sourced OpenQuant API implementation☆11Jun 15, 2014Updated 11 years ago
- Apply different deep learning models to limit order book.☆11Mar 6, 2018Updated 7 years ago
- Financial Portfolio Optimization Routines in Python☆314Aug 31, 2022Updated 3 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…☆76Dec 11, 2020Updated 5 years ago
- Stock portfolio optimizer in Python based on least correlated moving sharpe / sortino ratios.☆55May 6, 2015Updated 10 years ago
- A Survey of Multi-Factor Models☆40Jul 17, 2015Updated 10 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆238Sep 2, 2022Updated 3 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 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 5 years ago