jiangtiantu / FactorMining
基于基因表达式规划算法的因子挖掘
☆29Updated 3 years ago
Alternatives and similar repositories for FactorMining:
Users that are interested in FactorMining are comparing it to the libraries listed below
- High frequency factors based on order and trade data.☆44Updated last year
- 多因子模型相关☆21Updated 3 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆34Updated 7 months ago
- The source code for the paper☆21Updated last year
- 通过遗传算法、强化学习来自动选择高频因子☆24Updated 2 years ago
- Stock factor mining with CNN and GRU.☆50Updated 2 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆17Updated 7 months ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆61Updated 4 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆18Updated last year
- Demonstrative examples for developing quantitative and systematic strategies☆37Updated last year
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆31Updated 2 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆98Updated 10 months ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- A Higher-order HMM with EM algo.☆15Updated 2 years ago
- ☆23Updated 2 years ago
- 众人的因子回测框架 stock factor test☆26Updated last week
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆58Updated 2 years ago
- An end-to-end stock factors mining neural network framework.☆29Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆28Updated 11 months ago
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆56Updated 7 months ago
- factor performance visualization☆29Updated 3 months ago
- High Frequency Trading Strategies☆42Updated 7 years ago
- ☆27Updated last year
- 基于华泰研报对原alpha101代码进行简化和拓展☆43Updated 5 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…☆62Updated 4 years ago
- 改进gplearn,主要使用在股票公式挖掘☆93Updated 4 years ago
- Quant Studio Document☆24Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- 沪深300指数增强模型☆78Updated 5 years ago