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Factor analysis package for EQI project.

Project description

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:

  • Install this package using pip

    pip install 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.

Project details


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