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基于市场上的固收+基金,本文基于二次规划法回归,以每日的基金收益为因变量,各资产指数收益为自变量,拟合回归各资产仓位,并通过历史报告期的真实仓位数据判定准确度,最后在测试的最优模型下进行仓位预测工作。
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 Multifactor Model
An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.
Barra-Multiple-factor-risk-model
Provide risk forecasts by Barra China Equity Model
Barra CNE6 因子构建
This is an internship project aiming to make Attribution Analysis for general equity funds in China market
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.
基于Python的金融分析与风险管理(第二版) 代码
DATA630012 大数据与金融风险管理 相关作业
利用遗传算法校正Heston期权定价模型参数
This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due to Jorda (2005), and based on codes available at https://sites.google.com/site/oscarjorda/home/local-projections.
可传债定价模型LSM、BSM、BSM_Pro 模型
Barra multi factor model.
基于万得实现开放式基金回测
景气度趋势行业轮动 and 顶端组合优化
Risk_Parity strategy 风险平价
雪球期权定价
雪球期权定价,backward induction
雪球结构产品定价
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.