├── 101 Formulaic Alphas.pdf ├── 20170615-国泰君安-数量化专题之九十三：基于短周期价量特征的多因子选股体系.pdf ├── 20170711-东方证券-东方证券衍生品系列研究之（六）：商品期货中的alpha策略.pdf ├── JPM - Systematic Strategies Across Asset Classes.pdf ├── Order Imbalance Based Strategy in High Frequency Trading.pdf ├── README.md ├── 华泰多因子模型体系初探.pdf ├── 商品期货因子挖掘及组合构建再探究 .pdf └── 海通证券 商品期货因子挖掘与组合构建再研究.pdf /101 Formulaic Alphas.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/101 Formulaic Alphas.pdf -------------------------------------------------------------------------------- /20170615-国泰君安-数量化专题之九十三：基于短周期价量特征的多因子选股体系.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/20170615-国泰君安-数量化专题之九十三：基于短周期价量特征的多因子选股体系.pdf -------------------------------------------------------------------------------- /20170711-东方证券-东方证券衍生品系列研究之（六）：商品期货中的alpha策略.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/20170711-东方证券-东方证券衍生品系列研究之（六）：商品期货中的alpha策略.pdf -------------------------------------------------------------------------------- /JPM - Systematic Strategies Across Asset Classes.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/JPM - Systematic Strategies Across Asset Classes.pdf -------------------------------------------------------------------------------- /Order Imbalance Based Strategy in High Frequency Trading.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/Order Imbalance Based Strategy in High Frequency Trading.pdf -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # FactorModel 多因子模型的相关文献 2 | 3 | References for factor model. 4 | 5 | 入门必读多因子模型相关文献。 6 | 7 | There are some quite classical references that helps you understand and get started to build a factor model for financial market. 8 | 9 | 尤其推荐的两篇是： 10 | 11 | * 20170615-国泰君安-数量化专题之九十三：基于短周期价量特征的多因子选股体系 12 | * 华泰多因子模型体系初探 13 | 14 | -------------------------------------------------------------------------------- /华泰多因子模型体系初探.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/华泰多因子模型体系初探.pdf -------------------------------------------------------------------------------- /商品期货因子挖掘及组合构建再探究 .pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/商品期货因子挖掘及组合构建再探究 .pdf -------------------------------------------------------------------------------- /海通证券 商品期货因子挖掘与组合构建再研究.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/zhangchuheng123/FactorModel/ec7972931f61cb3981f4afdb032dc49433c1b233/海通证券 商品期货因子挖掘与组合构建再研究.pdf --------------------------------------------------------------------------------