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.

Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulations.

📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)

📈This repo describes a framework that leverages sentiment stability of a financial 10-K report as the trading signal (alpha factor)