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Factor analysis package for EQI project.

Project description

https://github.ldn.swissbank.com/zhanjinp/eqi-static/blob/master/eqi_logo_full.png?raw=true

EQI Factor Analysis Package

Features:

  • EQIDF: EQI extension of Pandas Dataframe, which aims to simplify the Pandas Dataframe usage, providing a smoothier (though non-pythonic) syntax. EQIDF provides extended methods, as well as keeping all the existing Pandas methods available.
  • EQI Refdata: fetch common refdata from our curated list, e.g. marketval
  • EQI Analysis: Single Factor Analysis with UBS EQI Alphalens
  • EQI Factor: A formatted DataFrame containing a single column of alpha factor value, indexed by asset and date. You can upload your Factor to the database, and share with others
  • EQI Portfolio: A time series equity holdings weighted by an EQI Factory. You can analyze the portfolio performance based on UBS EQI Alphalens.

How to install:

Prerequisites:

Please make sure that your conda profile configuration file (located at ${home_folder}/.condarc) is similar to examples/example.condarc

Install:

conda install -c jinzha098718 eqi-analysis

Getting started:

  • Go to examples/single_factor_analysis_example.html, see how to use this package

Known Issues:

Please feel free to create a issue in case of any problems.

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