Quantitative-analysis:量化研究-券商金工研报复现

# Quantitative-analysis ## 利用python对国内各大券商的金工研报进行复现 数据依赖:[jqdata](https://www.joinquant.com/) 和 [tushare](https://tushare.pro/) 每个文件夹中有对应的券商研报及相关的论文,py文件中为ipynb的复现文档 ## 目录 **指数择时类** 1. RSRS择时指标 - [原始](https://www.joinquant.com/view/community/detail/1f0faa953856129e5826979ff9b68095) - [修正](https://www.joinquant.com/view/community/detail/32b60d05f16c7d719d7fb836687504d6) - [本土改造](https://www.joinquant.com/view/community/detail/e855e5b3cf6a3f9219583c2281e4d048) 2. [低延迟趋势线与交易择时（LLT均线，本质为一种低阶滤波器)](https://www.joinquant.com/view/community/detail/f011921f2398c593eee3542a6069f61c) 3. [基于相对强弱下单向波动差值应用](https://www.joinquant.com/view/community/detail/ddf35e24e9dbad456d3e6beaf0841262) 4. [扩散指标](https://www.joinquant.com/view/community/detail/aa69406f4427ea472b1c640fc2e8c448) 5. [指数高阶矩择时](https://www.joinquant.com/view/community/detail/e585df64077e4073ece0bcaa6b054bfa) 6. [CSVC框架及熊牛指标](https://www.joinquant.com/view/community/detail/6a77f468b6f996fcd995a8d0ad8c939c) - a. CSVC为一个防过拟框架 - b. [熊牛指标](https://www.joinquant.com/view/community/detail/d0b0406c2ad2086662de715c92d518cd) 7. [羊群效应](https://www.joinquant.com/view/community/detail/3b4c68880062b3b660165bba7571d5a4) 8. [小波分析择时](https://www.joinquant.com/view/community/detail/eab0008b70882d0b1966bb6425db3469) 9. [时变夏普](https://www.joinquant.com/view/community/detail/634a7a14e79f87d44c980094c5e8d5d1) 10. [北向资金交易能力一定强吗](https://www.joinquant.com/view/community/detail/c11731e00f6de8e489ed64cec1621c33) 11. [择时视角下的波动率因子](https://www.joinquant.com/view/community/detail/986f2732c0b0287bc8f161829f32b689) **因子** 1. [基于量价关系度量股票的买卖压力](https://www.joinquant.com/view/community/detail/efc4f507b2ef8703d2c20283b1301980) 2. [来自优秀基金经理的超额收益](https://www.joinquant.com/view/community/detail/51d97afb8d619ffb5219d2e166414d70) 3. [市场微观结构研究系列（1）：A股反转之力的微观来源](https://www.joinquant.com/view/community/detail/521e854c0accab11c0bac2a9d8dac484) 4. [多因子指数增强的思路](https://www.joinquant.com/view/community/detail/8c60c343407d41b09def615c52c8693d) 5. [特质波动率因子](https://www.joinquant.com/view/community/detail/6e4ddf0a1cf3bb17367b463cefe3b5e4?type=1) 6. [处置效应因子](https://www.joinquant.com/view/community/detail/1c3aa95d7485065d977f9ba17cc014fd) 7. [技术因子-上下影线因子](https://www.joinquant.com/view/community/detail/92d2ccab2d412dbfa7df366369e6373b) **量化价值** 1. [罗伯·瑞克超额现金流选股法则](https://www.joinquant.com/view/community/detail/30543ad72454c7648b03bae542af55c9) **组合优化** 1. [DE进化算法下的组合优化](https://www.joinquant.com/view/community/detail/2044ade4baf51132d257f2d3c0e56597)