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alpha-research

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Cross-sectional Transformer and FFN for stock return prediction and alpha generation. Implements GKX (2020) NN5 replication and MSRR loss (Kelly et al. 2025) for direct portfolio Sharpe optimization. Avg SDF Sharpe 2.05, significant alpha (t=5.34) unexplained by FF5+Momentum.

  • Updated Apr 13, 2026
  • Python

端到端、可复现的 A 股量化研究平台:因子挖掘 → 防过拟合 → Barra 风险模型 → AI Agent 智能挖掘 → 组合优化与归因 → 模拟交易 → 成果展示 Dashboard。全链路可审计、可复现。

  • Updated Jun 30, 2026
  • Python

A modular Python framework for researching and backtesting multi-factor equity strategies using classical factors (Value, Momentum, Size), Fama–MacBeth regressions, IC/IR analysis, and long–short portfolio evaluation.

  • Updated Dec 3, 2025
  • Python

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