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Provide risk forecasts by Barra China Equity Model

Code Usage

  1. Extract data from Wind database.

  2. Build style factors.

  3. Prepare factor exposures data for regression: truncate, winsorize and normalize style factors, build industry factors.Return a dataframe with hierarchy index (datetime, code) and columns containing: industry factors, 10 style factors, daily return and weight.

  4. Calculate factor returns by weighted linear regression. Predict risk by factor returns.

  5. Some utility functions.

  6. Store the useful results of this model including: factor results attribution, risk forecast, effective factors selection.

  7. Functions used to connect with UI.

  8. is the mainfunction of UI system.

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