xiaoyem / fts
Exercises for Analysis of Financial Time Series, 3rd
☆22Updated 8 years ago
Related projects ⓘ
Alternatives and complementary repositories for fts
- 分享量化投资相关的论文,代码和代码复现。☆70Updated last year
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 6 years ago
- ☆52Updated last year
- 沪深300指数纯因子组合构建☆48Updated 5 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆82Updated 5 years ago
- 量化研究-多因子模型☆17Updated last year
- 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…☆55Updated 3 years ago
- 获取经典的量化多因子模型数据☆62Updated 3 years ago
- Machine Learning-Driven Quantamental Investing☆117Updated 4 years ago
- 多因子模型相关☆21Updated 3 years ago
- 因子回测框架☆89Updated last year
- ☆15Updated 3 years ago
- 以wind为数据源的基金单期brinson业绩归因☆75Updated 4 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆32Updated 2 years ago
- Machine Learning for Finance: 2019-20 Module 3 (Spring 2020)☆67Updated 6 months ago
- Barra Multifactor Model☆133Updated 4 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆41Updated 4 years ago
- empirical asset pricing☆39Updated last year
- 使用Python复现Black-Litterman模型。Black-Litterman模型创造性地采用贝叶斯方法将投资者对预期收益的主观看法与资产的市场均衡收益相结合,有效地解决了Markowitz均值-方差模型中投资者难以准确估计各个投资品种预期收益率、以及其权重对预期收…☆132Updated 4 years ago
- Barra-Multiple-factor-risk-model☆128Updated 7 years ago
- ☆12Updated 6 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- 沪深300指数增强模型☆73Updated 5 years ago
- 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☆38Updated last year
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆100Updated 10 months ago
- BackTrader多因子回测框架 (Multi-factors backtesting framework for BackTrader)☆91Updated 2 years ago
- This repository hosts my reading notes for academic papers.☆76Updated 3 years ago
- Performance analysis of predictive (alpha) stock factors☆29Updated 2 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆52Updated 2 years ago
- 因子构建、单因子测试☆66Updated 3 years ago