rosie068 / BARRA_risk
A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. Created by Rosemary He Sept. 2019, under Zhiqiang Zhang.
☆62Updated 4 years ago
Alternatives and similar repositories for BARRA_risk:
Users that are interested in BARRA_risk are comparing it to the libraries listed below
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- Barra-Multiple-factor-risk-model☆136Updated 7 years ago
- Barra Multifactor Model☆139Updated 5 years ago
- Provide risk forecasts by Barra China Equity Model☆162Updated 6 years ago
- 沪深300指数增强模型☆78Updated 5 years ago
- 改进gplearn,主要使用在股票公式挖掘☆93Updated 4 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆43Updated 5 years ago
- 因子构建、单因子测试☆69Updated 3 years ago
- 多因子模型相关☆21Updated 3 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆91Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆121Updated 5 years ago
- 以wind为数据源的基金单期brinson业绩归因☆79Updated 5 years ago
- 沪深300指数纯因子组合构建☆51Updated 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
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆58Updated last year
- High frequency factors based on order and trade data.☆44Updated last year
- 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☆40Updated last year
- Implemented some mathematical processings used in the Barra risk model☆26Updated last year
- ☆27Updated last year
- 基于streamlit的因子分析app☆58Updated last year
- ☆141Updated 3 months ago
- Quant Studio Document☆24Updated 4 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆33Updated 7 months ago
- 一个简单的量化研究框架,具备基本的数据获取、因子分析、机器学习、回测及结果分析功能☆45Updated 2 years ago
- Python Data Analysis and Financial Calculation☆64Updated 5 years ago
- Recurrent Neural Network for predicting Stock Returns☆120Updated 3 years ago
- 计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数☆121Updated 4 years ago
- ☆190Updated 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
- Backtrader量化策略研报复现☆28Updated 3 years ago