/factor_model

Production ready prototype factor model, alpha factors based on hypothesis proposed in the paper Overnight Returns and Firm-Specific Investor Sentiment by David Aboody et al

Primary LanguageJupyter Notebook

Factor Model

This project is a production ready prototype model that

  • builds a cross-sectional statistical risk model using PCA, which is used to build a portfolio along with a number of momentum, mean reversion, and sentiment alpha factors

drawing

drawing

  • universe: US equities, top 500 in terms of dollar volume
  • evaluates the alpha factors, combining the promising signals into a single alpha vector

drawing

  • evaluates a number of approaches to constructing the optimal portfolio given objective/constraints

drawing

drawing

note: uses end of day pricing data from Quotemedia and sector data from Sharadar, which could not be shared due to licensing restrictions