Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
☆134Dec 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
Sorting:
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆385Aug 7, 2018Updated 7 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
- Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic pr…☆70Feb 7, 2019Updated 7 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆46Apr 16, 2018Updated 7 years ago
- 多因子模型相关☆23Jun 16, 2021Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆21Apr 29, 2020Updated 5 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
- Attribution and optimisation using a multi-factor equity risk model.☆36Jan 30, 2024Updated 2 years ago
- Regime-Switching Model☆20Nov 9, 2017Updated 8 years ago
- This is a finance factor model, risk model, portfolio optimization, strategies research library.☆16Nov 11, 2018Updated 7 years ago
- Package to build risk model for factor pricing model☆28Jul 26, 2024Updated last year
- ☆15Aug 21, 2021Updated 4 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆73Dec 20, 2017Updated 8 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
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 5 years ago
- Barra-Multiple-factor-risk-model☆151Apr 7, 2017Updated 8 years ago
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆10Jun 5, 2022Updated 3 years ago
- ☆36Aug 29, 2022Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆18Jun 4, 2021Updated 4 years ago
- 量化FOF框架☆13Mar 8, 2019Updated 7 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
- Implement a momentum trading strategy in Python and test to see if it has the potential to be profitable☆58Jan 8, 2019Updated 7 years ago
- Research and Backtests I have been working on...enjoy☆72Mar 8, 2021Updated 5 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆21May 4, 2021Updated 4 years ago
- ☆143Dec 8, 2022Updated 3 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆40Sep 19, 2023Updated 2 years ago
- ☆29Aug 7, 2022Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Apr 23, 2024Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22May 8, 2024Updated last year
- Implemented the paper Kinlaw, W., Kritzman, M., & Turkington, D. (2019). Crowded trades: Implications for sector rotation and factor timi…☆22Mar 18, 2021Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆125Jan 15, 2020Updated 6 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆17Nov 10, 2021Updated 4 years ago
- CVXPY Portfolio Optimization Sample☆45Feb 4, 2017Updated 9 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Aug 21, 2018Updated 7 years ago
- Financial Portfolio Optimization Routines in Python☆313Aug 31, 2022Updated 3 years ago
- A HMM application in Kritzman Regime Detection☆15Jan 3, 2020Updated 6 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Feb 9, 2021Updated 5 years ago