yangshengaa / dynamic_stock_industry_classification
Use graph-based analysis to re-classify stocks and to improve Markowitz portfolio optimization
☆19Updated 3 years ago
Alternatives and similar repositories for dynamic_stock_industry_classification
Users that are interested in dynamic_stock_industry_classification are comparing it to the libraries listed below
Sorting:
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Model news data in short, medium and long term for stock price trend prediction☆21Updated 7 years ago
- ☆18Updated 8 years ago
- Blaze☆14Updated 3 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- An Empirical Study of Optimal Combination of Algorithms for Prediction-Based Portfolio Optimization Model using Machine Learning over Co…☆11Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 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
- Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…☆18Updated last year
- This is for the capstone project "Optimal Execution of a VWAP order".☆33Updated 5 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆19Updated 5 years ago
- ☆12Updated 4 years ago
- tools for alpha research☆23Updated 7 years ago
- 多因子选股框架☆22Updated 4 years ago
- Trend Prediction for High Frequency Trading☆40Updated 2 years ago
- 利用Wind API更新周频与月频因子☆11Updated 5 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 …☆15Updated 6 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆14Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆63Updated 2 years ago
- The source code for the paper☆21Updated last year
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- Quantlib是一个个人维护、使用的量化模块,主要用于金融数据的获取、清洗、变换和分析等功能。☆21Updated 7 years ago