taehokimmm / MFSS-XGBoost
Multi Factor Stock Selection Model with XGBoost Tree Boosting
☆8Updated last year
Alternatives and similar repositories for MFSS-XGBoost:
Users that are interested in MFSS-XGBoost are comparing it to the libraries listed below
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- XGBoost is known to be fast and achieve good prediction results as compared to the regular gradient boosting libraries. This project atte…☆31Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Stock Price Prediction with PCA and LSTM☆14Updated 4 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- 多因子模型相关☆21Updated 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 …☆14Updated 6 years ago
- This trading strategy deploy the copula model to define the divergence of two correlated asset. The backtesting system is built on backtr…☆22Updated 2 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆17Updated 6 months 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
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- ☆12Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated last year
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- 一些研报的复现☆12Updated 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 11 months ago
- Firstly, multiple effective factors are discovered through IC value, IR value, and correlation analysis and back-testing. Then, XGBoost c…☆17Updated 4 years ago
- ☆17Updated 8 years ago
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆10Updated 2 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 6 years ago
- ☆15Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- 计算Barra因子及其收益率☆11Updated 2 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☆21Updated last year
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 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☆31Updated 2 years ago
- 多因子选股框架☆21Updated 4 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆18Updated 4 years ago
- 多因子打分选股☆13Updated 3 years ago