Popular repositories
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MultiFactor
MultiFactor PublicBuilt a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial engineering report. Steps include factor data collection and…
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Survey_PortfolioSelection
Survey_PortfolioSelection PublicOnline portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intellig…
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SVM-Genetic_Alpha
SVM-Genetic_Alpha PublicThis is derivative work from literature review of a paper, intending to serve as main alpha for the research project developed under ETC Investment Group, Academy Division. The underlying logic and…
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Equity_Research
Equity_Research PublicThis depository contains ETC equity reports derived from macroeconomic, industry-level analysis and fundamental research. It is mainly used as the equity component of the ETC Academy portfolio and …
Repositories
- Equity_Research Public
This depository contains ETC equity reports derived from macroeconomic, industry-level analysis and fundamental research. It is mainly used as the equity component of the ETC Academy portfolio and benchmark stock pool for later stock selection algorithms and managed portfolios in the ETC student fund. Starting from the third quarter of 2020, the…
- Survey_PortfolioSelection Public
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive survey and a structural understanding of published online p…
- MultiFactor Public
Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial engineering report. Steps include factor data collection and preprocessing, factor combination, portfolio optimization and risk return analysis.
- SVM-Genetic_Alpha Public
This is derivative work from literature review of a paper, intending to serve as main alpha for the research project developed under ETC Investment Group, Academy Division. The underlying logic and technique follows through with the abstract: "This paper presents an integrated approach for portfolio selection in a multicriteria decision making f…
