Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
☆135Dec 31, 2018Updated 7 years ago
Alternatives and similar repositories for multi-factor-model
Users that are interested in multi-factor-model 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 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
- Multi-Factor model with regression method☆10May 4, 2019Updated 7 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
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆69Feb 7, 2019Updated 7 years ago
- 多因子模型相关☆24Jun 16, 2021Updated 5 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.
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆19Apr 29, 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
- This is a finance factor model, risk model, portfolio optimization, strategies research library.☆16Nov 11, 2018Updated 7 years ago
- Regime-Switching Model☆20Nov 9, 2017Updated 8 years ago
- Barra-Multiple-factor-risk-model☆157Apr 7, 2017Updated 9 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Jan 30, 2024Updated 2 years ago
- ☆15Aug 21, 2021Updated 5 years ago
- High Frequency Jump Prediction Project☆37Jun 1, 2020Updated 6 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Dec 27, 2017Updated 8 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆78Dec 20, 2017Updated 8 years ago
- Package to build risk model for factor pricing model☆32Jul 26, 2024Updated 2 years ago
- ☆14Feb 25, 2020Updated 6 years ago
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆11Jun 5, 2022Updated 4 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆48Apr 16, 2018Updated 8 years ago
- Implement a momentum trading strategy in Python and test to see if it has the potential to be profitable☆60Jan 8, 2019Updated 7 years ago
- HRP algorithm for portfolio management in python.☆12Jan 31, 2021Updated 5 years ago
- Backtester for market neutral equity trading strategies. The code generates long and short signals for each security and then constructs …☆10Oct 5, 2020Updated 6 years ago
- ☆148Dec 8, 2022Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆23Jul 29, 2018Updated 8 years ago
- 量化FOF框架☆13Mar 8, 2019Updated 7 years ago
- a cpp framework for crypto currentcy tick data backtesting☆18Jun 4, 2021Updated 5 years ago
- A multi-factor stock selection model based on random forest with an average annualized yield of 33.74% from March 2014 to June 2017 when …☆17Feb 24, 2019Updated 7 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆38Sep 19, 2023Updated 3 years ago
- Research and Backtests I have been working on...enjoy☆72Mar 8, 2021Updated 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 …☆84Oct 11, 2022Updated 4 years ago
- ☆42Aug 29, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"☆19Nov 15, 2021Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Oct 9, 2026Updated 3 weeks ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆16Oct 18, 2019Updated 7 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
- 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 HMM application in Kritzman Regime Detection☆15Jan 3, 2020Updated 6 years ago