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acm-cheat-sheet

Acm Cheat Sheet

advances-in-financial-machine-learning

Notes on Advances in Financial Machine Learning

ai

algorithmictrading

This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in collaboration with Optiver and have been peer-reviewed by staff members of Optiver. Therefore, much of the analysis are correct and give an indication how these methods work.

alphatrading

An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.

barra_cne6

Barra CNE6 因子构建

binance-quantization

虚拟货币(BTC、ETH)炒币量化系统项目。币安交易所-量化交易-网格策略实践。火币、OKEX热门交易所未来都支持。最简单收益最靠谱的项目，包教包会。

chartbuilder2

Chartbuilder 2.0 (for test)

data_analysis

dategram

This is for cloud computing project

depix

Recovers passwords from pixelized screenshots

eit-master

Enhanced Index Tracking Strategy with application of Machine Learning and Tracking Error Optimization

exchange-core

Ultra-fast exchange engine

factor_update

利用Wind API更新周频与月频因子

financial-risk-management-using-machine-learning-on-mainframes

This journey accesses a Financial Risk Management API published on IBM Bluemix with Machine Learning on z/OS running on the mainframe through a simulated retail bank system called MPLbank.

front-end-developer-interview-questions

A list of helpful front-end related questions you can use to interview potential candidates, test yourself or completely ignore.

fundholdings

Python web crawler to pull fund holdings from the SEC EDGAR database

hft-price-prediction

A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.

hs300_index_enhance

沪深300指数增强模型

html_resume

n

interactive-broker

Algorithm Trading

interviewquestions

java-lync-client

A java client for Microsoft Lync 2013 Server Unified Communications Web API(UCWA) which is a REST API that exposes Lync Server 2013 Instant Messaging and Presence capabilities.

javascript

machine-learning-adaboosting

This algorithm was developed under the research project

machine-learning-research

opencvdemo

OpenCV人脸捕捉和识别

optimal_transaction_execution

This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-056.pdf It contains 2 MATLAB demonstrating script : DATA_preprocessing.m & VAR_modeling_script.m DATA_preprocessing.m uses the LOBSTER framework (https://lobster.wiwi.hu-berlin.de/) to preprocess high frequency data from the NASDAQ Total View ITCH (csv files) allowing us to reconstruct exactly at each time the order book up to ten depths. Just look at the published script ! VAR_modeling_script.m contains the modeling of the whole order book as VEC/VAR process. It uses the great VAR/VEC Joahnsen cointegration framework. After calibrating your VAR model, you then assess the impact of an order using shock scenario (sensitivity analysis) to the VAR process. We deal with 3 scenarii : normal limit order, aggressive limit order & normal market order). Play section by section the script (to open up figures which contain a lot of graphs). It contains a power point to help you present this complex topic. The second item is entirely based on the following paper : http://www.courant.nyu.edu/~almgren/papers/optliq.pdf It contains a mupad document : symbolic_demo.mn I did struggle to get something nice with the symbolic toolbox. I was not able to drive a continuous workflow and had to recode some equations myself. I nevertheless managed to get a closed form solution for the simplified linear cost model. It contains a MATLAB demonstrating script : working_script.m For more sophisticated cost model, there is no more closed form and we there highlighted MATLAB numerical optimization abilities (fmincon). It contains an Optimization Apps you can install. Just launch the optimization with the default parameters. And then switch the slider between volatility risk and liquidation costs to see the trading strategies evolve on the efficient frontier. It contains a power point to help you present this complex topic.

optimalportfolio

An open source library for portfolio optimisation

optopsy

A nimble options backtesting library for Python