Report for Week1~2
— 杨希渊，阮墨文，陈志杰
Index
1 因子挖掘基本知识学习
- Factor is essentially any quantity that explains or predicts the returns and risks of a group of securities
Section1: Introduction to Factor Mining
- CAPM (Capital Asset Pricing Model)
- APT (Arbitrage Pricing Theory)
Section1: Factor Models
- Preprocessing
- Imputation & Outlier Treatment (data preprocessing)
- Neutralization
- Standardization
- Single-Variable Factors & Linear Composite Factors
- Supervised/Unsupervised Learning Approaches
- GBDT
- MLP
- PCA
- Other: Genetic Algorithm & RL
Section2: Factor Construction
- Information Coefficient (IC)
- Pearson Information Coefficient
- Spearman Rank Information Coefficient (RIC)
- Group Backtesting Analysis
- Assets are sorted into K groups.
- The long-short portfolio return (factor spread).
Section3: Factor Testing
- 对于stock_data部分代码，已经跑通（包括下载代码 & 特征工程）
- 尝试使用 alphagen 及其他因子库做机器挖因子