xiaoyem / ftsLinks
Exercises for Analysis of Financial Time Series, 3rd
☆23Updated 9 years ago
Alternatives and similar repositories for fts
Users that are interested in fts are comparing it to the libraries listed below
Sorting:
- Machine Learning-Driven Quantamental Investing☆140Updated 5 years ago
- Barra-Multiple-factor-risk-model☆145Updated 8 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆66Updated 7 years ago
- Barra Multifactor Model☆154Updated 5 years ago
- Provide risk forecasts by Barra China Equity Model☆169Updated 7 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆92Updated 6 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…☆70Updated 4 years ago
- 因子回测框架☆135Updated 2 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆47Updated 5 years ago
- 因子构建、单因子测试☆72Updated 4 years ago
- 沪深300指数纯因子组合构建☆54Updated 6 years ago
- 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…☆152Updated 5 years ago
- ☆60Updated 2 years ago
- 计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数☆126Updated 5 years ago
- 多因子模型相关☆22Updated 4 years ago
- 本项目为深度学习在多因子量化选股中的一种实践☆110Updated 6 years ago
- 沪深300指数增强模型☆88Updated 6 years ago
- 分享量化投资相关的论文,代码和代码复现。☆83Updated 2 years ago
- 以wind为数据源的基金单期brinson业绩归因☆84Updated 5 years ago
- This repository hosts my reading notes for academic papers.☆90Updated 4 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☆30Updated 2 years ago
- 改进gplearn,主要使用在股票公式挖掘☆98Updated 5 years ago
- convertible bond pricing project based on Monte Carlo simulation☆15Updated 2 years ago
- 一个基于中国市场的Fama-French五因子实证研究☆39Updated 3 years ago
- ☆209Updated 5 years ago
- ☆150Updated 6 months ago
- Barra CNE6 因子构建☆330Updated 5 years ago
- empirical asset pricing☆48Updated 2 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆214Updated 4 years ago
- Implementation of 5-factor Fama French Model☆135Updated 4 years ago