taehokimmm / MFSS-XGBoostLinks
Multi Factor Stock Selection Model with XGBoost Tree Boosting
☆8Updated 2 years ago
Alternatives and similar repositories for MFSS-XGBoost
Users that are interested in MFSS-XGBoost are comparing it to the libraries listed below
Sorting:
- 基于机器学习的多因子研究框架☆14Updated 5 years ago
- Multi-Factor model with regression method☆9Updated 6 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
- Backtest Framework designed by YuminQuant&Yumin.☆18Updated 10 months ago
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆15Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Alpha mining with DEAP-based genetic programming.☆9Updated last year
- 多因子模型相关☆22Updated 4 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated 2 years ago
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago
- 多因子打分选股☆13Updated 3 years ago
- 多因子选股框架☆23Updated 4 years ago
- 雪球结构产品定价☆29Updated last year
- Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"☆9Updated last year
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- 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☆34Updated 2 years ago
- Stock Price Prediction with PCA and LSTM☆14Updated 4 years ago
- ☆12Updated 4 years ago
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆10Updated 3 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆13Updated this week
- 基于华泰研报对原alpha101代码进行简化和拓展☆45Updated 5 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆33Updated 10 months ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- I use a LSTM ( long short term memory model) model to predict the fluctuations of VIX index ( the index of 50ETF options), and trade t…☆13Updated 6 years ago
- ☆15Updated 3 years ago
- 计算Barra因子及其收益率☆11Updated 3 years ago
- ☆12Updated 3 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 …☆16Updated 6 years ago