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-book

:green_book:我的个人书籍学习和收藏

201804_barrafactors

Factor model referred by the Barra Model (USE4/CNE5) and decomposition of China mutual/private funds.

2simplicialtransformer

Code for the 2-simplicial Transformer paper

a-comparative-study-of-loss-functions-traffic-predictions-in-regular-and-congestion-scenarios

Source Code for the paper "A Comparative Study of Loss Functions: Traffic Predictions in Regular and Congestion Scenarios"

adgat

Modeling the Momentum Spillover Effect for Stock Prediction via Attribute-Driven Graph Attention Networks

advanced-deep-trading

Mostly experiments based on "Advances in financial machine learning" book

alphafold2

To eventually become an unofficial Pytorch implementation / replication of Alphafold2, as details of the architecture get released

alphagen

Generating sets of formulaic alpha (predictive) stock factors via reinforcement learning.

alphalens

Performance analysis of predictive (alpha) stock factors

alphanet

Stock factor mining with CNN and GRU.

alphanet-cxvpylayer-quant

alphanet-v1

alphanetv3

Recurrent Neural Network for predicting Stock Returns

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.

amazingquant

AmazingQuant——为交易而生的智能投研Lab。包含策略组合研究服务、量化数据服务、指标计算服务、绩效分析服务四大功能模块。

amformer

The AMFormer algorithm, accepted at AAAI-2024, for deep tabular learning

aps-channel-search

Revisiting Parameter Sharing for Automatic Neural Channel Number Search, NeurIPS 2020

asset-pricing-model

PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics

attention-clx-stock-prediction

Attention-based CNN-LSTM and XGBoost hybrid model for stock prediction

autoencoder-asset-pricing-models

Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)

awesome-material

awesome material

awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

awesome-time-series

Resources for working with time series and sequence data

bagoftricks-lt

A scientific and useful toolbox, which contains practical and effective long-tail related tricks with extensive experimental results

barra

Barra Multifactor Model

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_cne5

Provide risk forecasts by Barra China Equity Model

barra_cne6

Barra CNE6 因子构建

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.