GitHub - kingmo888/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.

Branches Tags

Name		Name	Last commit message	Last commit date
Latest commit History 17 Commits
output		output
report		report
source		source
.gitignore		.gitignore
Alpha Trading Workflow.pdf		Alpha Trading Workflow.pdf
BARRA.ipynb		BARRA.ipynb
FactorAnalysis.ipynb		FactorAnalysis.ipynb
FactorModeling.ipynb		FactorModeling.ipynb
FactorsScreening.ipynb		FactorsScreening.ipynb
KalmanFilter.ipynb		KalmanFilter.ipynb
MultiFactorModel_old.ipynb		MultiFactorModel_old.ipynb
multi-factor models.md		multi-factor models.md
multi-factor models.pdf		multi-factor models.pdf
rqdata_utils.py		rqdata_utils.py

About

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.