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lalalaff's Projects

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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。

alphatrading icon 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 icon barra-model

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

barra_cne5 icon barra_cne5

Provide risk forecasts by Barra China Equity Model

barra_model icon barra_model

This is an internship project aiming to make Attribution Analysis for general equity funds in China market

barra_risk icon 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.

gaheston icon gaheston

利用遗传算法校正Heston期权定价模型参数

localprojections icon localprojections

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.

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