QuantStart量化交易文集

Over the last seven years more than 200 quantitative finance articles have been written by members of the QuantStart team, prominent quant finance academics, researchers and industry professionals.

在过去七年中，QuantStart一共发表了200多篇量化金融文章，这些文章的作者包括QS团队成员、优秀的量化金融学者、研究人员和行业专家。

The articles are broadly categorised into Quantitative Trading, Mathematical Finance, Computational Finance and Careers Guidance.

这些文章大体分为量化交易,金融数学,计算金融和职业指导。

Quantitative Trading 量化交易

Getting Started with Quantitative Trading 量化交易起步

• Beginner's Guide to Quantitative Trading 量化交易入门指南
• Can Algorithmic Traders Still Succeed at the Retail Level? 算法交易商仍能在零售层面取得成功吗？
• Top 5 Essential Beginner Books for Algorithmic Trading 算法交易初学者必读的5本书

Building a Quantitative Trading Infrastructure 构建量化交易框架

• Installing a Desktop Algorithmic Trading Research Environment using Ubuntu Linux and Python 搭建桌面算法交易研究环境
• Securities Master Databases for Algorithmic Trading  算法交易中的证券主数据库
• Securities Master Database with MySQL and Python
• Downloading Historical Futures Data From Quandl 从Quandl下载期货历史数据
• Research Backtesting Environments in Python with pandas 使用Python中的pandas研究回测环境
• Continuous Futures Contracts for Backtesting Purposes 用于回测的连续期货合约
• Downloading Historical Intraday US Equities From DTN IQFeed with Python

Backtesting 回测

• Successful Backtesting of Algorithmic Trading Strategies - Part I
• Successful Backtesting of Algorithmic Trading Strategies - Part II
• Best Programming Language for Algorithmic Trading Systems?
• Event-Driven Backtesting with Python - Part I
• Event-Driven Backtesting with Python - Part II
• Event-Driven Backtesting with Python - Part III
• Event-Driven Backtesting with Python - Part IV
• Event-Driven Backtesting with Python - Part V
• Event-Driven Backtesting with Python - Part VI
• Event-Driven Backtesting with Python - Part VII
• Event-Driven Backtesting with Python - Part VIII
• Should You Build Your Own Backtester?
• Backtesting Systematic Trading Strategies in Python: Considerations and Open Source Frameworks

Risk and Performance Measurement 风险与性能度量

• Sharpe Ratio for Algorithmic Trading Performance Measurement
• Money Management via the Kelly Criterion
• Value at Risk (VaR) for Algorithmic Trading Risk Management - Part I
• Annualised Rolling Sharpe Ratio in QSTrader

Automated Execution 自动执行

• Interactive Brokers Demo Account Signup Tutorial
• Using Python, IBPy and the Interactive Brokers API to Automate Trades
• Choosing a Platform for Backtesting and Automated Execution

Quantitative Trading Strategies 量化交易策略

• How to Identify Algorithmic Trading Strategies
• Backtesting a Moving Average Crossover in Python with pandas
• Backtesting a Forecasting Strategy for the S&P500 in Python with pandas
• Backtesting An Intraday Mean Reversion Pairs Strategy Between SPY And IWM
• ARIMA+GARCH Trading Strategy on the S&P500 Stock Market Index Using R
• Kalman Filter-Based Pairs Trading Strategy In QSTrader
• Monthly Rebalancing of ETFs with Fixed Initial Weights in QSTrader
• Strategic and Equal Weighted ETF Portfolios in QSTrader
• Aluminum Smelting Cointegration Strategy in QSTrader
• Sentiment Analysis Trading Strategy via Sentdex Data in QSTrader
• Market Regime Detection using Hidden Markov Models in QSTrader

Quant Funds and Institutional Management 量化基金和机构管理

• What are the Different Types of Quant Funds?

Talks and Interviews 对话与访谈

• My Interview Over At OneStepRemoved.com
• My Talk At The London Financial Python User Group
• My Chat With Traders Interview with Aaron Fifield
• When Should You Build Your Own Backtester? - QuantCon NYC, April 2016 talk

QSTrader QS交易员

• Announcing the QuantStart Advanced Trading Infrastructure Article Series
• Advanced Trading Infrastructure - Position Class
• Advanced Trading Infrastructure - Portfolio Class
• Advanced Trading Infrastructure - Portfolio Handler Class

Forex Trading Diary 外汇交易日记

• Forex Trading Diary #1 - Automated Forex Trading with the OANDA API
• Forex Trading Diary #2 - Adding a Portfolio to the OANDA Automated Trading System
• Forex Trading Diary #3 - Open Sourcing the Forex Trading System
• Forex Trading Diary #4 - Adding a Backtesting Capability
• Forex Trading Diary #5 - Trading Multiple Currency Pairs
• Forex Trading Diary #6 - Multi-Day Trading and Plotting Results
• Forex Trading Diary #7 - New Backtest Interface

Careers Advice 职业咨询

Life as a Quant 宽客人生

• Understanding How to Become a Quantitative Analyst
• What are the Different Types of Quantitative Analysts?
• My Experiences as a Quantitative Developer in a Hedge Fund
• A Day in the Life of a Quantitative Developer
• Careers in Quantitative Finance
• What are the Career Paths in Systematic Trading?
• Setting up an Algorithmic Trading Business

Undergraduates 大学生

• What Classes Should You Take To Become a Quantitative Analyst?
• Why Study for a Mathematical Finance PhD?
• Why a Masters in Finance Won't Make You a Quant Trader
• Best Undergraduate Degree Course For Becoming A Quant?
• The Top 5 UK Universities For Becoming A Quant
• How to Learn Advanced Mathematics Without Heading to University - Part 1
• How to Learn Advanced Mathematics Without Heading to University - Part 2
• How to Learn Advanced Mathematics Without Heading to University - Part 3

Postgraduates 研究生

• Junior Quant Jobs - Beginning a Career in Financial Engineering after a PhD
• How To Get A Quant Job Once You Have A PhD
• Getting a Job in a Top Tier Quant Hedge Fund
• How to Get a Job at a High Frequency Trading Firm
• Which Programming Language Should You Learn To Get A Quant Developer Job?

Career Changers 转行

• Can You Still Become a Quant in Your Thirties?
• Self-Study Plan for Becoming a Quantitative Trader - Part I
• Self-Study Plan for Becoming a Quantitative Trader - Part II
• Self-Study Plan for Becoming a Quantitative Developer
• Self-Study Plan for Becoming a Quantitative Analyst
• Mailbag: Can You Get A Job In HFT Without A Degree?
• Quant Finance Career Skills - What Are Employers Looking For?

Quant Reading Lists 量化阅读列表

• Quant Reading List Derivative Pricing
• Quant Reading List C++ Programming
• Quant Reading List Numerical Methods
• Quant Reading List Python Programming
• 5 Important But Not So Common Books A Quant Should Read Before Applying for a Job
• 5 Top Books for Acing a Quantitative Analyst Interview
• Top 5 Finite Difference Methods books for Quant Analysts
• Top 5 Essential Beginner C++ Books for Financial Engineers
• Quantitative Finance Reading List
• Top 10 Essential Resources for Learning Financial Econometrics
• Free Quantitative Finance Resources
• Top 5 Essential Books for Python Machine Learning

Mathematics 数学

Linear Algebra 线性代数

• Scalars, Vectors, Matrices and Tensors - Linear Algebra for Deep Learning (Part 1)
• Matrix Algebra - Linear Algebra for Deep Learning (Part 2)

Bayesian Statistics 贝叶斯统计

• Bayesian Statistics: A Beginner's Guide
• Bayesian Inference of a Binomial Proportion - The Analytical Approach
• Markov Chain Monte Carlo for Bayesian Inference - The Metropolis Algorithm
• Bayesian Linear Regression Models with PyMC3

Machine Learning 机器学习

• Basics of Statistical Mean Reversion Testing
• Basics of Statistical Mean Reversion Testing - Part II
• Forecasting Financial Time Series - Part I
• Beginner's Guide to Statistical Machine Learning - Part I
• Support Vector Machines: A Guide for Beginners
• Supervised Learning for Document Classification with Scikit-Learn
• The Bias-Variance Tradeoff in Statistical Machine Learning - The Regression Setting
• Using Cross-Validation to Optimise a Machine Learning Method - The Regression Setting
• Beginner's Guide to Unsupervised Learning
• Beginner's Guide to Decision Trees for Supervised Machine Learning
• Maximum Likelihood Estimation for Linear Regression
• Bootstrap Aggregation, Random Forests and Boosted Trees
• K-Means Clustering of Daily OHLC Bar Data

Rough Path Theory 拉夫路径理论

• Rough Path Theory and Signatures Applied To Quantitative Finance - Part 1
• Rough Path Theory and Signatures Applied To Quantitative Finance - Part 2
• Rough Path Theory and Signatures Applied To Quantitative Finance - Part 3
• Rough Path Theory and Signatures Applied To Quantitative Finance - Part 4

Deep Learning 深度学习

• Deep Learning with Theano - Part 1: Logistic Regression
• What is Deep Learning?
• Should You Buy or Rent a GPU-Based Deep Learning Machine for Quant Trading Research?

Time Series Analysis 时间序列分析

• Beginner's Guide to Time Series Analysis
• Serial Correlation in Time Series Analysis
• White Noise and Random Walks in Time Series Analysis
• Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 1
• Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 2
• Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 3
• Autoregressive Integrated Moving Average ARIMA(p, d, q) Models for Time Series Analysis
• Generalised Autoregressive Conditional Heteroskedasticity GARCH(p, q) Models for Time Series Analysis
• State Space Models and the Kalman Filter
• Dynamic Hedge Ratio Between ETF Pairs Using the Kalman Filter
• Cointegrated Time Series Analysis for Mean Reversion Trading with R
• Cointegrated Augmented Dickey Fuller Test for Pairs Trading Evaluation in R
• Johansen Test for Cointegrating Time Series Analysis in R
• Hidden Markov Models - An Introduction
• Hidden Markov Models for Regime Detection using R

Derivatives Pricing 衍生品定价

The Binomial Model 二叉树模型

• Introduction to Option Pricing with Binomial Trees
• Hedging the sale of a Call Option with a Two-State Tree
• Risk Neutral Pricing of a Call Option with a Two-State Tree
• Replication Pricing of a Call Option with a One-Step Binomial Tree
• Multinomial Trees and Incomplete Markets
• Pricing a Call Option with Two Time-Step Binomial Trees
• Pricing a Call Option with Multi-Step Binomial Trees
• Derivative Pricing with a Normal Model via a Multi-Step Binomial Tree
• Risk Neutral Pricing of a Call Option with Binomial Trees with Non-Zero Interest Rates

Stochastic Calculus 随机计算

• Introduction to Stochastic Calculus
• The Markov and Martingale Properties
• Brownian Motion and the Wiener Process
• Stochastic Differential Equations
• Geometric Brownian Motion
• Ito's Lemma
• Deriving the Black-Scholes Equation

Numerical PDE 偏微分方程

• Derivative Approximation via Finite Difference Methods
• Solving the Diffusion Equation Explicitly
• Crank-Nicholson Implicit Scheme
• Tridiagonal Matrix Solver via Thomas Algorithm

Black-Scholes Model 布莱克-舒尔斯期权定价模型

• Derivatives Pricing I: Pricing under the Black-Scholes model
• Derivatives Pricing II: Volatility Is Rough

C++ Implementation C++实现

C++ Language C++语言

• C++ Virtual Destructors: How to Avoid Memory Leaks
• Passing By Reference To Const in C++
• Mathematical Constants in C++
• STL Containers and Auto_ptrs - Why They Don't Mix
• Function Objects ("Functors") in C++ - Part 1
• C++ Standard Template Library Part I - Containers
• C++ Standard Template Library Part II - Iterators
• C++ Standard Template Library Part III - Algorithms
• What's New in the C++11 Standard Template Library?

Numerical Methods in C++

• Tridiagonal Matrix Algorithm ("Thomas Algorithm") in C++
• Matrix Classes in C++ - The Header File
• Matrix Classes in C++ - The Source File
• Statistical Distributions in C++
• Random Number Generation via Linear Congruential Generators in C++
• Eigen Library for Matrix Algebra in C++

Derivatives Pricing with C++

• European vanilla option pricing with C++ and analytic formulae
• European vanilla option pricing with C++ via Monte Carlo methods
• Digital option pricing with C++ via Monte Carlo methods
• Double digital option pricing with C++ via Monte Carlo methods
• Asian option pricing with C++ via Monte Carlo Methods
• Floating Strike Lookback Option Pricing with C++ via Analytic Formulae
• C++ Explicit Euler Finite Difference Method for Black Scholes
• Generating Correlated Asset Paths in C++ via Monte Carlo
• Implied Volatility in C++ using Template Functions and Interval Bisection
• Implied Volatility in C++ using Template Functions and Newton-Raphson
• Heston Stochastic Volatility Model with Euler Discretisation in C++
• Jump-Diffusion Models for European Options Pricing in C++
• Calculating the Greeks with Finite Difference and Monte Carlo Methods in C++

GPU/CUDA Programming in C++

• Installing Nvidia CUDA on Mac OSX for GPU-Based Parallel Computing
• Vector Addition "Hello World!" Example with CUDA on Mac OSX
• Installing Nvidia CUDA on Ubuntu 14.04 for Linux GPU Computing
• dev_array: A Useful Array Class for CUDA
• Monte Carlo Simulations In CUDA - Barrier Option Pricing
• Matrix-Matrix Multiplication on the GPU with Nvidia CUDA

Python Implementation Python实现

• Options Pricing in Python
• European Vanilla Call-Put Option Pricing with Python
• LU Decomposition in Python and NumPy
• Cholesky Decomposition in Python and NumPy
• QR Decomposition with Python and NumPy
• Jacobi Method in Python and NumPy
• Parallelising Python with Threading and Multiprocessing
• Quick-Start Python Quantitative Research Environment on Ubuntu 14.04
• Easy Multi-Platform Installation of a Scientific Python Stack Using Anaconda

Quantstart

• QuantStart: 2014 in Review
• Announcement: Speaking at QuantCon in April 2016
• How to Write a Great Quant Blog
• QuantStart April 2016 News
• Advanced Algorithmic Trading and QSTrader Updates
• Advanced Algorithmic Trading and QSTrader - Second Update
• QuantStart Events in October and November 2016
• QuantStart New York City October 2016 Trip Report
• Advanced Algorithmic Trading and QSTrader - Fourth Update
• QuantStart Gets a Makeover
• QuantStart Singapore November 2016 Trip Report
• Advanced Algorithmic Trading and QSTrader - Fifth Update
• QuantStart Upcoming Content Survey 2017