Quant Factor Model

WSL 기반 Python 프로젝트.

Current pipeline

• S&P 500 universe reconstruction from db/annotated_sp500.csv
• yfinance price download
• raw factor computation
• cross-sectional preprocessing
• 3D exposure tensor build: X[T, N, K]
• factor return estimation via cross-sectional regression
  • OLS 기반 팩터 수익률 추정: $f = (X^T X)^{-1} X^T r$
  • $X$: Factor Exposure Matrix, $r$: Asset Returns, $f$: Estimated Factor Returns

Main entrypoint

 
python3 scripts/run_factor_pipeline.py

to do list:

• get better data, store them in db (influx)
• 연산 최적화
• IBKR 연동
• position에 대한 고민 (portfolio rebalancing algorithm)
• factors 개수 확장
• f prediction