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frankfanslc's Projects

ingo icon ingo

persistent storage for flags in go

inspect icon inspect

inspect is a collection of metrics gathering, analysis utilities for various subsystems of linux, mysql and postgres.

install icon install

一键安装程序,欢迎大家提交代码和小鱼一起一键安装停止浪费生命

instance-watcher icon instance-watcher

Get notified for Instances mistakenly left running across all AWS regions for specific AWS Account

interview-1 icon interview-1

Interview = 简历指南 + 算法题 + 八股文 + 源码分析

interview-2 icon interview-2

My interview documents, algorithm implementations, etc

interview-questions icon interview-questions

Interview Questions for Google, Amazon, Apple, etc. 根据超过 2000 篇真实面经整理的腾讯,阿里,字节跳动,Shopee,美团,滴滴高频面试题

interviewthis icon interviewthis

An open source list of developer questions to ask prospective employers

investment-portfolio-performance-attribution icon investment-portfolio-performance-attribution

The purpose of this project is to measure how much of the performance of a diversified quantitative investment portfolio is significantly impacted by random market behavior, if at all. If successful, the results of this analysis will lay the groundwork for a broader analysis pertaining to the separation of alpha and beta across the investment portfolio. If the "luck" portion of the portfolio can be measured dynamically (accounting for lags etc) then a hedging tool could potentially eliminate random market risk without eroding portfolio returns in times of erratic market behavior. The methodology is to obtain historical performance data from 11 different trading models (mean reversion, pairs, market making, momentum, statistical arbitrage, etc) that together form a diversified investment portfolio over a particularly volatile trading period. I will explore the data by analyzing the distribution of performance across symbols and across time periods to reveal the structure of the performance data and how it relates to and is impacted by market behavior. I will then model the data to measure how much of the performance is explained by the market and market volatility, its clustering tendencies and its correlation to the predictor variables. Finally, I will interpret the results and reconcile the results with my original hypothesis to determine if it makes sense to continue work to create a hedging instrument for the portfolio.

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