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alphatrading

An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.

barra-model

An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.

barra-multiple-factor-risk-model

Barra-Multiple-factor-risk-model

barra_risk

A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. Created by Rosemary He Sept. 2019, under Zhiqiang Zhang.

chinaequityriskmodel

Fundamental Factor Model based on Bloomberg

equity-risk-model

:chart: A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities

famafrench

Implementation of 5-factor Fama French Model

fundanalysis

Code to analyze and track mutual funds and ETFs. Output should include: factor exposures, style analysis, performance both relative to a benchmark and absolute.

hedge-fund-replication

kalman-and-bayesian-filters-in-python

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.

kalmanfilter

Kalman filter sanctuary - including continuous-discrete extended Kalman filter. Bring additional filters here for a bigger collection.

multi-factor-model

Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.

riskim

Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction

riskmodel

Multi-factor Risk Model based on Barra

riskparityfactormodel

Risk Parity and Factors Model on multi asseet management

sit

Systematic Investor Toolkit