tonylibing / QuantTrader

Learning Quant Trading and Financial Repository

QuantTrader

Quant Learning Repository

1. Alphas
   1. Contains world quant 101, GTJA 191 alphas
2. BackTrader
   1. Basic trading strategy backtested on BackTrader
3. Fundamental
   1. Some basic and fundamental knowledge of quant
4. Models
   1. Deep learning models which may be useful of quant
   2. Machiner Learning models, like xgboost, random forest
5. Data
   1. Some useful data of future and stock
6. HuaTai
   1. HuaTai Security Report of Artificial Intelligence

Paper List and Learning Resources:

Deep learning Models for Quant

1. Neural Network-based Automatic Factor Construction (NNAFC) https://arxiv.org/pdf/2008.06225.pdf

Alpha Discovering and Mining Paper

1. Huatai Securities in HuaTai_AIReport
2. GuoTaiJunAn Security in GTJA_QuantReport

Finance Learning resources

1. Readings
   1. International Trade 4th (international trade)
   2. What do undergrads need to know about trade (short introductional like paper)
   3. Wat Hedge Funds Really do (introduction about hedge fund)
   4. Investment Science (derivatives)
   5. The Essays of Warren Buffett (enterprise management and investment)
   6. The little book of Common Sense Investing (basic investment)

Financial Economics 25

https://www.bilibili.com/video/BV1Bx411d714?spm_id_from=333.1007.top_right_bar_window_custom_collection.content.click Professor Gao Xu's Financial Economics 25. The folder contains my notes for each chapter and self-written homework answer.

1. chapter3: Interest rate and bond analysis
2. chapter4: Stock Model
3. chapter5: Mean-Variance Analysis
4. chapter6: CAPM
5. chapter7: CAPM
6. chapter8: Expected Utility Theory
7. chapter9: Savings
8. chapter10: Equilibrium
9. chapter11: C-CAPM
10. chapter12: C-CAPM(2)
11. chapter13: Multi-Factor Model
12. chapter14: APT
13. chapter15: APT Fundamental Theory
14. chapter16: Multi-Period Binary Tree Option Pricing Model
15. chapter17: Optimal Stopping
16. chapter18: Black-Scholes-Merton Formula
17. chapter19: Delta-Hedge
18. chapter20: Frictions
19. chapter21: Adverse Selection
20. chapter22:
21. chapter23:
22. chapter24:
23. chapter25:

Quick Start

To install the related python packages:

pip install -r requirements.txt

If you encounter with warning message while installing ta-lib:

conda install -c conda-forge ta-lib