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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.
An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.
Barra-Multiple-factor-risk-model
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.
Fundamental Factor Model based on Bloomberg
:chart: A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities
Implementation of 5-factor Fama French Model
Code to analyze and track mutual funds and ETFs. Output should include: factor exposures, style analysis, performance both relative to a benchmark and absolute.
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.
Kalman filter sanctuary - including continuous-discrete extended Kalman filter. Bring additional filters here for a bigger collection.
Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.
Assets' Risk Management Using Mean-Variance Opt Based On Mult-Factors Trending Prediction
Multi-factor Risk Model based on Barra
Risk Parity and Factors Model on multi asseet management
Systematic Investor Toolkit
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.