机器学习&量化学术交流

本项目目前包括：

QUANT-RESOURCES:

• Awesome-quant awesome-quant

• Awesome-quant(Chinese) awesome-quant
  

• Time-Series Works and Conferences Time-Series-Works-Conferences

PAPERS AND MODELS:

• DDG-DA: Data Distribution Generation for Predictable Concept Drift Adaptation DDG-DA

• 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	0.07913	7.82825	22.11%	1.21610	24.93%	26.20%	2.16575	9.15%	PLOT
DA-RNN	LINK	RNN+Attn	0.09456	8.28988	22.17%	1.19277	26.22%	26.31%	2.10914	9.20%	PLOT
TRA	LINK	RNN	0.08400	8.10454	13.79%	0.81530	26.77%	17.71%	1.62311	8.99%	PLOT
TCN	LINK	CNN	0.09114	7.57064	16.95%	0.94854	26.44%	20.92%	1.70229	10.09%	PLOT
Transformer	LINK	Attn	0.08938	6.94548	18.27%	1.02255	25.98%	22.05%	1.66291	11.42%	PLOT
Localformer	LINK	Attn	0.09066	6.47978	17.55%	1.01227	25.91%	21.24%	1.62241	10.72%	PLOT
Informer	LINK	Attn+CNN	0.00702	1.69430	3.93%	0.30673	28.63%	7.59%	0.75850	13.03%	PLOT
Autoformer	LINK	Attn	0.04984	4.36314	9.99%	0.65911	24.41%	13.34%	1.12588	11.77%	PLOT
PatchTST	LINK	Attn	0.00500	0.82580	3.96%	0.30926	27.72%	7.58%	0.75946	11.17%	PLOT
iTransformer	LINK	Attn	0.04645	2.80729	9.20%	0.63440	21.66%	12.38%	1.03928	12.12%	PLOT
DLinear	LINK	MLP	0.06246	3.47573	13.90%	0.92929	20.35%	17.11%	1.39859	9.80%	PLOT
TiDE	LINK	MLP	-0.0447	-2.39685	-16.25%	-0.60535	43.30%	-12.94%	-0.74022	34.66%	PLOT
TiDGE	LINK	RNN+MLP	0.04695	3.83880	2.13%	0.21000	33.73%	5.86%	0.54744	12.41%	PLOT

Meta Learning

Model Name	Paper	Type	IC	ICIR	Annualized Return	Information Ratio	Max Drawdown	Alpha	Information Ratio(alpha)	Max Drawdown(alpha)	PLOT
DDG-DA(Linear)	LINK	LINEAR	0.12582	6.75107	10.94%	0.68766	27.82%	14.33%	1.11679	12.62%	PLOT

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...

欢迎交流