nkuguanrui / FamaFrenchThreeFacorModelLinks
FamaFrench(1992)论文复现;FamaFrench三因子模型;python
☆43Updated 5 years ago
Alternatives and similar repositories for FamaFrenchThreeFacorModel
Users that are interested in FamaFrenchThreeFacorModel are comparing it to the libraries listed below
Sorting:
- ☆59Updated 2 years ago
- 武汉大学金融科技研讨班☆375Updated last week
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆43Updated 2 years ago
- 因子回测框架☆141Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆40Updated 3 years ago
- convertible bond pricing project based on Monte Carlo simulation☆17Updated 2 years ago
- Barra CNE6 因子构建☆347Updated 6 years ago
- empirical asset pricing☆49Updated 2 years ago
- 使用Python复现Black-Litterman模型。Black-Litterman模型创造性地采用贝叶斯方法将投资者对预期收益的主观看法与资产的市场均衡收益相结合,有效地解决了Markowitz均值-方差模型中投资者难以准确估计各个投资品种预期收益率、以及其权重对预期收…☆152Updated 5 years ago
- Barra Multifactor Model☆160Updated 5 years ago
- 因子构建、单因子测试☆72Updated 4 years ago
- Machine Learning-Driven Quantamental Investing☆141Updated 5 years ago
- 本项目为深度学习在多因子量化选股中的一种实践☆110Updated 6 years ago
- 华泰金工研究报告☆229Updated 2 years ago
- RFS2020年论文Emperical asset pricing via machine learning复现☆32Updated 3 years ago
- 基于机器学习方法构建多因子选股模型:RandomForest, GBDT, Adaboots, xgboost,MLP, Linear Model, LSTM☆232Updated 5 years ago
- Quant_Strategy☆26Updated 3 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Updated 6 years ago
- ☆193Updated 2 years ago
- 多因子指数增强策略/多因子全流程实现☆367Updated last year
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆72Updated 8 years ago
- BSc Thesis on the Garch-Midas model☆29Updated 3 years ago
- 根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现☆32Updated 2 years ago
- Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)☆139Updated 5 months ago
- This module contains the core code for the missing data imputation proposed in the the paper "Missing Financial Data". It is intended for…☆12Updated 2 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆142Updated 2 years ago
- Provide risk forecasts by Barra China Equity Model☆173Updated 7 years ago
- Barra-Multiple-factor-risk-model☆148Updated 8 years ago
- 多因子策略回测框架☆33Updated 6 years ago
- Application guide for top MFE programs☆89Updated last month