sdmay19-06 • Quantitative Research Modeling Library

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Senior Design Team sdmay19-06 • Quantitative Research Modeling Library

Project Overview

This project, the Quantitative Research Modeling Library, is focused on developing more efficient software for our client, Principal Financial Group, to use for developing and simulating quantitative models for stock data. When we were brought in to solve this problem, we were not given a specific way of accomplishing this goal, and instead we spent time researching and interviewing our client to understand how best we could improve their processes. At this point the scope of the project consists of developing a prototype for the Dynamic Risk Premium 2.0 pipeline (DRP 2.0) which will act as a framework for future work in this area. The desired pipeline will provide the user a package of functions and abstract classes available in Python for running each portion of the process. The user will also be able to customize the stock universe, factor portfolio strategies, model algorithms, and factor policy used by the pipeline. By the end of the project, we will deliver the finished pipeline as well as an operation manual for the users of the pipeline to get started with.

Most Current Documents

Final Report

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Final Presentation

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Poster

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Operation Manual