Leilei Zhou, Ph.D.
Leilei Zhou, Ph.D.

Projects & Open Source

A showcase of web applications, developer utilities, and open source tools I have built and maintained.

Systematic Multi-Factor Equity Engine & Portfolio Optimization
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Systematic Multi-Factor Equity Engine & Portfolio Optimization

Orthogonalized multi-factor equity strategy combining momentum, low volatility, and volume reversal signals with rolling beta neutralization and MAD outlier filtering.

PythonFactor ResearchBarra AttributionTCANumPyBacktesting
Recursive State-Space & Kalman Filter Engine
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Recursive State-Space & Kalman Filter Engine

Productionized statistical library modeling time-varying parameters, latent macro regimes, and multi-asset sensitivities with Bayesian recursive estimation.

PythonState-SpaceKalman FilterTime-SeriesStatsmodels
High-Throughput Panel Data Pipeline (Spark & DuckDB)
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High-Throughput Panel Data Pipeline (Spark & DuckDB)

High-performance vectorized data processing pipeline processing 20+ years of panel data across 50M+ facilities with out-of-core memory efficiency.

Apache SparkDuckDBNumPyPythonSQLHigh-Performance
Macro Regime-Switching & Structural-Break Detection

Macro Regime-Switching & Structural-Break Detection

Time-varying statistical modeling suite detecting structural shifts in market volatility, corporate credit spreads, and asset loss rates.

Regime-SwitchingTime-Varying VARPCAADF DiagnosticsPython