机器学习&量化学术交流

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本项目目前包括：

QUANT-RESOURCES:

• Awesome-quant awesome-quant

• Awesome-quant(Chinese) awesome-quant
  

PAPERS AND MODELS:

• Awesome Time Series Forecasting/Prediction Papers TSFpaper

• A Survey on Time-Series Pre-Trained Models time-series-ptms

• Pytorch Transformer based Time Series Models transformer-ts

MODEL ZOO

截面模型

Model Name	Paper	Type	IC	ICIR	Annualized Return	Information Ratio	Max Drawdown	Alpha	Information Ratio(alpha)	Max Drawdown(alpha)	PLOT
Linear	[LINK]	LINEAR	0.07515	4.30512	6.84%	0.45324	27.61%	10.36%	0.83945	12.79%	PLOT
CATBOOST	LINK	TREE	0.07899	4.86365	9.65%	0.57736	30.68%	13.46%	1.62153	12.30%	PLOT
LGBM	[LINK]	TREE	0.07497	4.44188	7.20%	0.45381	32.82%	11.03%	0.89911	12.91%	PLOT
DoubleEnsemble	LINK	TREE	0.07555	4.30537	6.13%	0.39556	34.53%	10.00%	0.78544	14.05%	PLOT
MLP	[LINK]	MLP	0.07093	6.27798	13.44%	0.83009	20.08%	17.02%	1.44013	10.59	PLOT

时序模型

Model Name	Paper	Type	IC	ICIR	Annualized Return	Information Ratio	Max Drawdown	Alpha	Information Ratio(alpha)	Max Drawdown(alpha)	PLOT
LSTM	[LINK]	RNN	0.09134	7.47619	17.93%	0.96085	29.32%	22.01%	1.68747	12.28%	PLOT
GRU	[LINK]	RNN	0.08819	7.85512	22.11%	1.21610	24.93%	26.20%	2.16575	9.15%	PLOT
DA-RNN	LINK	LSTM+TRANS	0.09456	8.28988	22.17%	1.19277	26.22%	26.31%	2.10914	9.20%	PLOT
Transformer
Informer
Autoformer
LTSF-Linear
TIDE
PatchTST

FACTOR ZOO

量价因子

FACTOR	表达式	IC均值	ICIR	IC>0占比	|IC|>0.03占比	多头组年化收益	多空年化收益
Alpha0

UPDATING...

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