quant

quant

Quant资源整理

交易投资解密 发表了文章 • 0 个评论 • 201 次浏览 • 2017-08-15 17:29 • 来自相关话题

 
 
史上最全Quant资源整理
有些国外的平台、社区、博客如果连接无法打开,那说明可能需要“科学”上网量化交易平台
国内在线量化平台:
BigQuant - 你的人工智能量化平台 - 可以无门槛地使用机器学习、人工智能开发量化策略,基于python,提供策略自动生成器镭矿 - 基于量化回测平台果仁网 - 回测量化平台京东量化 - 算法交易和量化回测平台聚宽 - 量化回测平台优矿 - 通联量化实验室Ricequant - 量化交易平台况客 - 基于R语言量化回测平台Factors - 数库多因子量化平台诸葛量化 - 量化交易平台宽狗量化 - 回测量化平台
国外量化平台:
Quantopian 研究、回测、算法众包平台QuantConnect 研究、回测和投资交易Quantstart 研究、回测和投资交易、数据科学网站ASC 研究、交易平台zulutrade 自动交易平台quantpedia 研究、策略平台algotrading101 策略研究平台investopedia 可以股票、外汇模拟交易的财经网站Amibroker 提供系统交易工具的一家公司AlgoTrades 股票、ETF、期货自动交易系统Numerai 数据工程师众包的一家对冲基金WealthFront 财富管理平台Betterment 个人投资平台TradeLink 量化交易平台ActiveQuant 基于JavaScript开源交易开发框架
相关平台:
掘金量化 - 支持C/C++、C#、MATLAB、Python和R的量化交易平台DigQuant - 提供基于matlab量化工具SmartQuant - 策略交易平台OpenQuant - 基于C#的开源量化回测平台
基于图表的量化交易平台
文华赢智 、TB、金字塔、MultiCharts 中国版 - 程序化交易软件、MT4、TradeStationAuto-Trader - 基于MATLAB的量化交易平台BotVS - 首家支持传统期货与股票证券与数字货币的量化平台
开源框架
Pandas - 数据分析包Zipline - 一个Python的回测框架vnpy - 基于python的开源交易平台开发框架tushare - 财经数据接口包easytrader - 进行自动的程序化股票交易pyalgotrade - 一个Python的事件驱动回测框架pyalgotrade-cn - Pyalgotrade-cn在原版pyalgotrade的基础上加入了A股历史行情回测,并整合了tushare提供实时行情。zwPython - 基于winpython的集成式python开发平台quantmod - 量化金融建模rqalpha - 基于Python的回测引擎quantdigger - 基于python的量化回测框架pyktrader - 基于pyctp接口,并采用vnpy的eventEngine,使用tkinter作为GUI的python交易平台QuantConnect/Lean - Lean Algorithmic Trading Engine by QuantConnect (C#, Python, F#, VB, Java)QUANTAXIS - 量化金融策略框架
其他量化交易平台:
Progress Apama、龙软DTS、国泰安量化投资平台、飞创STP、易盛程序化交易、盛立SPT平台、天软量化回测平台 、量邦天语、EQB-Quant数据源
TuShare - 中文财经数据接口包Quandl - 国际金融和经济数据Wind资讯-经济数据库 - 收费东方财富 Choice金融数据研究终端 - 收费iFinD 同花顺金融数据终端 - 收费朝阳永续 Go-Goal数据终端 - 收费天软数据 - 收费国泰安数据服务中心 - 收费锐思数据 - 收费恒生API - 收费Bloomberg API - 收费数库金融数据和深度分析API服务 - 收费Historical Data Sources - 一个数据源索引预测者网 - 收费巨潮资讯 - 收费通联数据商城 - 收费通达信 - 免费历史数据 - 文档 | BigQuant - 免费新浪、雅虎、东方财富网 - 免费聚合数据、数粮 、数据宝 - 收费
数据库
manahl/arctic: High performance datastore for time series and tick data - 基于mongodb和python的高性能时间序列和tick数据存储kdb | The Leader in High-Performance Tick Database Technology | Kx Systems - 收费的高性能金融序列数据库解决方案MongoDB Blog - 用mongodb存储时间序列数据InfluxDB – Time-Series Data Storage | InfluxData - Go写的分布式时间序列数据库OpenTSDB/opentsdb: A scalable, distributed Time Series Database. - 基于HBase的时间序列数据库kairosdb/kairosdb: Fast scalable time series database - 基于Cassandra的时间序列数据库SQLite Home Page
网站、论坛、社区、博客
国外:
AQR - Alternative Investmentshttp://epchan.blogspot.jp/FOSS Tradingwilmott.com - ForumTraders Magazine: The stock dealers and institutional traders complete interactive news and information servicehttp://practicalquant.blogspot.jp/view=classichttp://www.thewholestreet.com/Implementing QuantLibhttp://tradingwithpython.blogspot.jp/Coding the marketsQuantivityQuant Mashup | QuantocracyOn a long enough timeline the survival rate for everyone drops to zeroKeplerian Finance - exploring the boundaries of quantitative financeThe Journal of Trading: HomeAll things finance and technology...Quant NewsQuantitative Trading Strategies | Numerical Method Inc.Nuclear PhynanceElite TraderMeb Faber Research - Stock Market and Investing BlogPortfolio Workstation by Alpha Levelhttp://falkenblog.blogspot.jp/Quantitative Finance Stack ExchangeThe mathematics of investing and markets • r/quantfinanceQuantNet CommunityQUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and tradingQUSMA - Quantitative Systematic Market Analysishttps://abnormalreturns.com/CSSAhttp://www.tradingtheodds.com/Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary OptionsCollective2 - The platform that connects investors with top-tradersAlvarez Quant TradingThe Marketplace For Algorithmic Trading Systems | QuantiacsQuantitative FinanceQuantopian LecturesKitces.com - Advancing Knowledge in Financial PlanningForex FactoryThe R TraderHow to be a Quant关于交易策略的机器学习scikit-learn: machine learning in PythonPaul WilmottThe Trend is your FriendPractical QuantJohn Mauldin's Outside the BoxQuantum FinancierQuantified StrategiesBlackRock BlogQuant at Risk
国内:
BigQuant量化社区算法组_新浪微博海洋部落水木社区(经管之家)人大经济论坛清华大学学生经济金融论坛matlab技术论坛微量网Code4Quant量化交易 - 热门问答 - 知乎集思录 - 低风险投资 - 集思录雪球 - 聪明的投资者都在这里myquant/strategy: 掘金策略集锦botvs/strategies - 用Javascript or Python进行量化交易芝诺量化交易,程序化交易统计之都 (Capital of Statistics)中国量化投资学会宽客 (Quant) - 索引 - 知乎faruto的博客博文_bicloud_新浪博客博文_郑来轶_新浪博客flitter_新浪博客david自由之路作者安道全_新浪博客债券的大拿没钱又丑期货用来复盘的blog花荣_新浪博客股海泛舟 - 股海范舟带头大哥777的博客
交易API
上海期货信息技术有限公司CTP API - 期货交易所提供的API飞马快速交易平台 - 上海金融期货信息技术有限公司 - 飞马大连飞创信息技术有限公司 - 飞创vnpy - 基于python的开源交易平台开发框架QuantBox/XAPI2 - 统一行情交易接口第2版easytrader - 提供券商华泰/佣金宝/银河/广发/雪球的基金、股票自动程序化交易,量化交易组件IB API | Interactive Brokers - 盈透证券的交易API
编程Python安装
Anaconda - 推荐通过清华大学镜像 下载安装Pycharm downloadPython Extension Packages for Windows - Christoph Gohlke - Windows用户从这里可以下载许多python库的预编译包
教程
Python | Codecademy用 Python 玩转数据 - 南京大学 | CourseraGoogle 开源项目风格指南 (中文版)廖雪峰python教程Introduction to Data Science in Python - University of Michigan | CourseraThe Python TutorialPython for FinanceAlgorithmic Thinking - Python 算法思维训练Python Cookbook 3rd Edition Documentation

Python Extension Packages for Windowsawesome-python: A curated list of awesome Python frameworks, libraries, software and resourcespandas - Python做数据分析的基础pyql: Cython QuantLib wrappers
ffn - 绩效评估ta-lib: Python wrapper for TA-Lib (http://ta-lib.org/). - 技术指标StatsModels: Statistics in Python — statsmodels documentation - 常用统计模型arch: ARCH models in Python - 时间序列pyfolio: Portfolio and risk analytics in Python - 组合风险评估twosigma/flint: A Time Series Library for Apache Spark - Apache Spark上的时间序列库
R安装
The Comprehensive R Archive Network - 从国内清华镜像下载安装RStudio - R的常用开发平台下载
教程
Free Introduction to R Programming Online Course - datacamp的在线学习R Programming - 约翰霍普金斯大学 | CourseraIntro to Computational Finance with R - 用R进行计算金融分析

CRAN Task View: Empirical Finance - CRAN官方的R金融相关包整理qinwf/awesome-R: A curated list of awesome R packages, frameworks and software.- R包的awesome
C++教程
C++程序设计 - 北京大学 郭炜基于Linux的C++ - 清华大学 乔林面向对象程序设计(C++) - 清华大学 徐明星C++ Design Patterns and Derivatives Pricing - C++设计模式C++ reference - cppreference.com - 在线文档

fffaraz/awesome-cpp: A curated list of awesome C/C++ frameworks, libraries, resources, and shiny things. - C++库整理rigtorp/awesome-modern-cpp: A collection of resources on modern C++ - 现代C++库整理QuantLib: a free/open-source library for quantitative financelibtrading/libtrading: Libtrading, an ultra low-latency trading connectivity library for C and C++.
Julia教程
Learning Julia - 官方整理QUANTITATIVE ECONOMICS with Julia - 经济学诺奖获得者Thomas Sargent教你Julia在量化经济的应用。

Quantitative Finance in Julia - 多数为正在实现中,感兴趣的可以参与
编程论坛
Stack OverflowSegmentFaultQuora Github知乎 - 与世界分享你的知识、经验和见解
编程能力在线训练
Solve Programming Questions | HackerRank - 包含常用语言(C++, Java, Python, Ruby, SQL)和相关计算机应用技术(算法、数据结构、数学、AI、Linux Shell、分布式系统、正则表达式、安全)的教程和挑战。LeetCode Online Judge - C, C++, Java, Python, C#, JavaScript, Ruby, Bash, MySQL在线编程训练
Quant Books
《投资学》第6版[美]兹维·博迪.文字版 (link)《打开量化投资的黑箱》 里什·纳兰《宽客》[美] 斯科特·帕特森(Scott Patterson) 著;译科,卢开济 译《解读量化投资:西蒙斯用公式打败市场的故事》 忻海 《Trends in Quantitative Finance》 Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm《漫步华尔街》麦基尔《海龟交易法则》柯蒂斯·费思《交易策略评估与最佳化》罗伯特·帕多《统计套利》 安德鲁·波尔《信号与噪声》纳特•西尔弗《期货截拳道》朱淋靖《量化投资—策略与技术》 丁鹏《量化投资—以matlab为工具》 李洋faruto《量化投资策略:如何实现超额收益Alpha》 吴冲锋《中低频量化交易策略研发(上)》 杨博理《走出幻觉走向成熟》 金融帝国《失控》凯文·凯利 《通往财务自由之路》范K撒普《以交易为生》 埃尔德《超越技术分析》图莎尔·钱德《高级技术分析》布鲁斯·巴布科克《积极型投资组合管理》格里纳德,卡恩《金融计量学:从初级到高级建模技术》 斯维特洛扎《投资革命》Bernstein《富可敌国》Sebastian Mallaby《量化交易——如何建立自己的算法交易事业》欧内斯特·陈《聪明的投资者》 巴菲特《黑天鹅·如何应对不可知的未来》 纳西姆·塔勒布
《期权、期货和其他衍生品》 约翰·赫尔《Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals》 Keith Fitschen《Quantitative Equity Investing》by Frank J. Fabozzi, Sergio M. Focardi, Petter N. KolmBarra USE3 handbook《Quantitative Equity Portfolio Management》 Ludwig Chincarini《Quantitative Equity Portfolio Management》 Qian & Hua & Sorensen
 Quant PapersMachine Learning Related
Cavalcante, Rodolfo C., et al. "Computational Intelligence and Financial Markets: A Survey and Future Directions." Expert Systems with Applications 55 (2016): 194-211.(link)
Low Frequency Prediction
Atsalakis G S, Valavanis K P. Surveying stock market forecasting techniques Part II: Soft computing methods. Expert Systems with Applications, 2009, 36(3):5932–5941. (link)Cai X, Lin X. Feature Extraction Using Restricted Boltzmann Machine for Stock Price Predic- tion. 2012 IEEE International Conference on Computer Science and Automation Engineering (CSAE), 2012. 80–83.(link)Nair B B, Dharini N M, Mohandas V P. A stock market trend prediction system using a hybrid decision tree-neuro-fuzzy system. Proceedings - 2nd International Conference on Advances in Recent Technologies in Communication and Computing, ARTCom 2010, 2010. 381–385. (link)Lu C J, Lee T S, Chiu C C. Financial time series forecasting using independent component analysis and support vector regression. Decision Support Systems, 2009, 47(2):115–125. (link)Creamer G, Freund Y. Automated trading with boosting and expert weighting. Quantitative Finance, 2010, 10(4):401–420. (link)Batres-Estrada, Bilberto. "Deep learning for multivariate financial time series." (2015). (link)Xiong, Ruoxuan, Eric P. Nicholas, and Yuan Shen. "Deep Learning Stock Volatilities with Google Domestic Trends." arXiv preprint arXiv:1512.04916 (2015).(link)Sharang, Abhijit, and Chetan Rao. "Using machine learning for medium frequency derivative portfolio trading." arXiv preprint arXiv:1512.06228 (2015).(link)
Reinforcement Learning
Dempster, Michael AH, and Vasco Leemans. "An automated FX trading system using adaptive reinforcement learning." Expert Systems with Applications 30.3 (2006): 543-552. (link)Tan, Zhiyong, Chai Quek, and Philip YK Cheng. "Stock trading with cycles: A financial application of ANFIS and reinforcement learning." Expert Systems with Applications 38.5 (2011): 4741-4755. (link)Rutkauskas, Aleksandras Vytautas, and Tomas Ramanauskas. "Building an artificial stock market populated by reinforcement‐learning agents." Journal of Business Economics and Management 10.4 (2009): 329-341.(link)Deng, Yue, et al. "Deep Direct Reinforcement Learning for Financial Signal Representation and Trading." (2016).(link)
Natual Language Processing Related
Bollen J, Mao H, Zeng X. Twitter mood predicts the stock market. Journal of Computational Science, 2011, 2(1):1–8. (link)Preis T, Moat H S, Stanley H E, et al. Quantifying trading behavior in financial markets using Google Trends. Scientific reports, 2013, 3:1684. (link)Moat H S, Curme C, Avakian A, et al. Quantifying Wikipedia Usage Patterns Before Stock Market Moves. Scientific Reports, 2013, 3:1–5. (link)Ding, Xiao, et al. "Deep learning for event-driven stock prediction." Proceedings of the 24th International Joint Conference on Artificial Intelligence (ICJAI’15). 2015. (link)Fehrer, R., & Feuerriegel, S. (2015). Improving Decision Analytics with Deep Learning: The Case of Financial Disclosures. arXiv preprint arXiv:1508.01993. (link)
High Frequency Trading
Nevmyvaka Y, Feng Y, Kearns M. Reinforcement learning for optimized trade execution. Proceedings of the 23rd international conference on Machine learning ICML 06, 2006, 17(1):673–680. (link)Ganchev K, Nevmyvaka Y, Kearns M, et al. Censored exploration and the dark pool problem. Communications of the ACM, 2010, 53(5):99. (link)Kearns M, Nevmyvaka Y. Machine learning for market microstructure and high frequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link)Sirignano, Justin A. "Deep Learning for Limit Order Books." arXiv preprint arXiv:1601.01987 (2016). (link)Deng, Yue, et al. "Sparse coding-inspired optimal trading system for HFT industry." IEEE Transactions on Industrial Informatics 11.2 (2015): 467-475.(link)Ahuja, Saran, et al. "Limit order trading with a mean reverting reference price." arXiv preprint arXiv:1607.00454 (2016). (link)Aït-Sahalia, Yacine, and Jean Jacod. "Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data." Journal of Economic Literature 50.4 (2012): 1007-1050. (link)
Portfolio Management
B. Li and S. C. H. Hoi, “Online portfolio selection,” ACM Comput. Surv., vol. 46, no. 3, pp. 1–36, 2014. (link)Heaton, J. B., Polson, N. G., & Witte, J. H. (2016). Deep Portfolio Theory. (link)Eugene F. Fama, Kenneth R. French. The cross-section of expected stock returns. Journal of Finance, 47 (1992), pp. 427–465.
学术期刊一堆=medium学术期刊可以常常去浏览一下,也会有许多思路,作者常常看的有:
Journal of FinanceJournal of Financial EconomicsReview of Financial StudiesJournal of Accounting and EconomicsReview of Accounting StudiesJournal of Accounting ResearchAccounting ReviewJournal of Financial and Quantitative AnalysisFinancial Analysts JournalFinancial ManagementJournal of Empirical FinanceQuantitative FinanceJournal of Alternative InvestmentsJournal of Fixed IncomeJournal of InvestingJournal of Portfolio ManagementJournal of TradingReview of Asset Pricing Studies经济研究经济学(季刊)金融研究管理世界会计研究投资研究
 
https://zhuanlan.zhihu.com/p/26179943 查看全部
 
 
史上最全Quant资源整理
有些国外的平台、社区、博客如果连接无法打开,那说明可能需要“科学”上网量化交易平台
国内在线量化平台:

国外量化平台:

相关平台:
  • 掘金量化 - 支持C/C++、C#、MATLAB、Python和R的量化交易平台
  • DigQuant - 提供基于matlab量化工具
  • SmartQuant - 策略交易平台
  • OpenQuant - 基于C#的开源量化回测平台

基于图表的量化交易平台
  • 文华赢智 、TB、金字塔、MultiCharts 中国版 - 程序化交易软件、MT4、TradeStation
  • Auto-Trader - 基于MATLAB的量化交易平台
  • BotVS - 首家支持传统期货与股票证券与数字货币的量化平台

开源框架
  • Pandas - 数据分析包
  • Zipline - 一个Python的回测框架
  • vnpy - 基于python的开源交易平台开发框架
  • tushare - 财经数据接口包
  • easytrader - 进行自动的程序化股票交易
  • pyalgotrade - 一个Python的事件驱动回测框架
  • pyalgotrade-cn - Pyalgotrade-cn在原版pyalgotrade的基础上加入了A股历史行情回测,并整合了tushare提供实时行情。
  • zwPython - 基于winpython的集成式python开发平台
  • quantmod - 量化金融建模
  • rqalpha - 基于Python的回测引擎
  • quantdigger - 基于python的量化回测框架
  • pyktrader - 基于pyctp接口,并采用vnpy的eventEngine,使用tkinter作为GUI的python交易平台
  • QuantConnect/Lean - Lean Algorithmic Trading Engine by QuantConnect (C#, Python, F#, VB, Java)
  • QUANTAXIS - 量化金融策略框架

其他量化交易平台:
Progress Apama、龙软DTS、国泰安量化投资平台、飞创STP、易盛程序化交易、盛立SPT平台、天软量化回测平台 、量邦天语、EQB-Quant数据源

数据库

网站、论坛、社区、博客
国外:

国内:

交易API

编程Python安装

教程




R安装

教程



C++教程



Julia教程



编程论坛

编程能力在线训练
  • Solve Programming Questions | HackerRank - 包含常用语言(C++, Java, Python, Ruby, SQL)和相关计算机应用技术(算法、数据结构、数学、AI、Linux Shell、分布式系统、正则表达式、安全)的教程和挑战。
  • LeetCode Online Judge - C, C++, Java, Python, C#, JavaScript, Ruby, Bash, MySQL在线编程训练

Quant Books
  • 《投资学》第6版[美]兹维·博迪.文字版 (link)
  • 《打开量化投资的黑箱》 里什·纳兰
  • 《宽客》[美] 斯科特·帕特森Scott Patterson) 著;译科卢开济 译
  • 《解读量化投资:西蒙斯用公式打败市场的故事》 忻海 
  • 《Trends in Quantitative Finance》 Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
  • 《漫步华尔街》麦基尔
  • 《海龟交易法则》柯蒂斯·费思
  • 《交易策略评估与最佳化》罗伯特·帕多
  • 《统计套利》 安德鲁·波尔《信号与噪声》纳特•西尔弗
  • 《期货截拳道》朱淋靖
  • 《量化投资—策略与技术》 丁鹏
  • 《量化投资—以matlab为工具》 李洋faruto
  • 《量化投资策略:如何实现超额收益Alpha》 吴冲锋
  • 《中低频量化交易策略研发(上)》 杨博理
  • 《走出幻觉走向成熟》 金融帝国
  • 《失控》凯文·凯利 《通往财务自由之路》范K撒普
  • 《以交易为生》 埃尔德
  • 《超越技术分析》图莎尔·钱德
  • 《高级技术分析》布鲁斯·巴布科克
  • 《积极型投资组合管理》格里纳德,卡恩
  • 《金融计量学:从初级到高级建模技术》 斯维特洛扎
  • 《投资革命》Bernstein
  • 《富可敌国》Sebastian Mallaby
  • 《量化交易——如何建立自己的算法交易事业》欧内斯特·陈
  • 聪明的投资者》 巴菲特
  • 《黑天鹅·如何应对不可知的未来》 纳西姆·塔勒布

  • 《期权、期货和其他衍生品》 约翰·赫尔
  • 《Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals》 Keith Fitschen
  • 《Quantitative Equity Investing》by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
  • Barra USE3 handbook
  • 《Quantitative Equity Portfolio Management》 Ludwig Chincarini
  • 《Quantitative Equity Portfolio Management》 Qian & Hua & Sorensen

 Quant PapersMachine Learning Related
  • Cavalcante, Rodolfo C., et al. "Computational Intelligence and Financial Markets: A Survey and Future Directions." Expert Systems with Applications 55 (2016): 194-211.(link)

Low Frequency Prediction
  • Atsalakis G S, Valavanis K P. Surveying stock market forecasting techniques Part II: Soft computing methods. Expert Systems with Applications, 2009, 36(3):5932–5941. (link)
  • Cai X, Lin X. Feature Extraction Using Restricted Boltzmann Machine for Stock Price Predic- tion. 2012 IEEE International Conference on Computer Science and Automation Engineering (CSAE), 2012. 80–83.(link)
  • Nair B B, Dharini N M, Mohandas V P. A stock market trend prediction system using a hybrid decision tree-neuro-fuzzy system. Proceedings - 2nd International Conference on Advances in Recent Technologies in Communication and Computing, ARTCom 2010, 2010. 381–385. (link)
  • Lu C J, Lee T S, Chiu C C. Financial time series forecasting using independent component analysis and support vector regression. Decision Support Systems, 2009, 47(2):115–125. (link)
  • Creamer G, Freund Y. Automated trading with boosting and expert weighting. Quantitative Finance, 2010, 10(4):401–420. (link)
  • Batres-Estrada, Bilberto. "Deep learning for multivariate financial time series." (2015). (link)
  • Xiong, Ruoxuan, Eric P. Nicholas, and Yuan Shen. "Deep Learning Stock Volatilities with Google Domestic Trends." arXiv preprint arXiv:1512.04916 (2015).(link)
  • Sharang, Abhijit, and Chetan Rao. "Using machine learning for medium frequency derivative portfolio trading." arXiv preprint arXiv:1512.06228 (2015).(link)

Reinforcement Learning
  • Dempster, Michael AH, and Vasco Leemans. "An automated FX trading system using adaptive reinforcement learning." Expert Systems with Applications 30.3 (2006): 543-552. (link)
  • Tan, Zhiyong, Chai Quek, and Philip YK Cheng. "Stock trading with cycles: A financial application of ANFIS and reinforcement learning." Expert Systems with Applications 38.5 (2011): 4741-4755. (link)
  • Rutkauskas, Aleksandras Vytautas, and Tomas Ramanauskas. "Building an artificial stock market populated by reinforcement‐learning agents." Journal of Business Economics and Management 10.4 (2009): 329-341.(link)
  • Deng, Yue, et al. "Deep Direct Reinforcement Learning for Financial Signal Representation and Trading." (2016).(link)

Natual Language Processing Related
  • Bollen J, Mao H, Zeng X. Twitter mood predicts the stock market. Journal of Computational Science, 2011, 2(1):1–8. (link)
  • Preis T, Moat H S, Stanley H E, et al. Quantifying trading behavior in financial markets using Google Trends. Scientific reports, 2013, 3:1684. (link)
  • Moat H S, Curme C, Avakian A, et al. Quantifying Wikipedia Usage Patterns Before Stock Market Moves. Scientific Reports, 2013, 3:1–5. (link)
  • Ding, Xiao, et al. "Deep learning for event-driven stock prediction." Proceedings of the 24th International Joint Conference on Artificial Intelligence (ICJAI’15). 2015. (link)
  • Fehrer, R., & Feuerriegel, S. (2015). Improving Decision Analytics with Deep Learning: The Case of Financial Disclosures. arXiv preprint arXiv:1508.01993. (link)

High Frequency Trading
  • Nevmyvaka Y, Feng Y, Kearns M. Reinforcement learning for optimized trade execution. Proceedings of the 23rd international conference on Machine learning ICML 06, 2006, 17(1):673–680. (link)
  • Ganchev K, Nevmyvaka Y, Kearns M, et al. Censored exploration and the dark pool problem. Communications of the ACM, 2010, 53(5):99. (link)
  • Kearns M, Nevmyvaka Y. Machine learning for market microstructure and high frequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link)
  • Sirignano, Justin A. "Deep Learning for Limit Order Books." arXiv preprint arXiv:1601.01987 (2016). (link)
  • Deng, Yue, et al. "Sparse coding-inspired optimal trading system for HFT industry." IEEE Transactions on Industrial Informatics 11.2 (2015): 467-475.(link)
  • Ahuja, Saran, et al. "Limit order trading with a mean reverting reference price." arXiv preprint arXiv:1607.00454 (2016). (link)
  • Aït-Sahalia, Yacine, and Jean Jacod. "Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data." Journal of Economic Literature 50.4 (2012): 1007-1050. (link)

Portfolio Management
  • B. Li and S. C. H. Hoi, “Online portfolio selection,” ACM Comput. Surv., vol. 46, no. 3, pp. 1–36, 2014. (link)
  • Heaton, J. B., Polson, N. G., & Witte, J. H. (2016). Deep Portfolio Theory. (link)
  • Eugene F. Fama, Kenneth R. French. The cross-section of expected stock returns. Journal of Finance, 47 (1992), pp. 427–465.

学术期刊一堆=medium学术期刊可以常常去浏览一下,也会有许多思路,作者常常看的有:
  • Journal of FinanceJournal of Financial Economics
  • Review of Financial Studies
  • Journal of Accounting and Economics
  • Review of Accounting Studies
  • Journal of Accounting Research
  • Accounting Review
  • Journal of Financial and Quantitative Analysis
  • Financial Analysts Journal
  • Financial Management
  • Journal of Empirical Finance
  • Quantitative Finance
  • Journal of Alternative Investments
  • Journal of Fixed Income
  • Journal of Investing
  • Journal of Portfolio Management
  • Journal of Trading
  • Review of Asset Pricing Studies
  • 经济研究
  • 经济学(季刊)
  • 金融研究
  • 管理世界
  • 会计研究
  • 投资研究

 
https://zhuanlan.zhihu.com/p/26179943

My Life as a Quant

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My Life as a Quant

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Quant资源整理

交易投资解密 发表了文章 • 0 个评论 • 201 次浏览 • 2017-08-15 17:29 • 来自相关话题

 
 
史上最全Quant资源整理
有些国外的平台、社区、博客如果连接无法打开,那说明可能需要“科学”上网量化交易平台
国内在线量化平台:
BigQuant - 你的人工智能量化平台 - 可以无门槛地使用机器学习、人工智能开发量化策略,基于python,提供策略自动生成器镭矿 - 基于量化回测平台果仁网 - 回测量化平台京东量化 - 算法交易和量化回测平台聚宽 - 量化回测平台优矿 - 通联量化实验室Ricequant - 量化交易平台况客 - 基于R语言量化回测平台Factors - 数库多因子量化平台诸葛量化 - 量化交易平台宽狗量化 - 回测量化平台
国外量化平台:
Quantopian 研究、回测、算法众包平台QuantConnect 研究、回测和投资交易Quantstart 研究、回测和投资交易、数据科学网站ASC 研究、交易平台zulutrade 自动交易平台quantpedia 研究、策略平台algotrading101 策略研究平台investopedia 可以股票、外汇模拟交易的财经网站Amibroker 提供系统交易工具的一家公司AlgoTrades 股票、ETF、期货自动交易系统Numerai 数据工程师众包的一家对冲基金WealthFront 财富管理平台Betterment 个人投资平台TradeLink 量化交易平台ActiveQuant 基于JavaScript开源交易开发框架
相关平台:
掘金量化 - 支持C/C++、C#、MATLAB、Python和R的量化交易平台DigQuant - 提供基于matlab量化工具SmartQuant - 策略交易平台OpenQuant - 基于C#的开源量化回测平台
基于图表的量化交易平台
文华赢智 、TB、金字塔、MultiCharts 中国版 - 程序化交易软件、MT4、TradeStationAuto-Trader - 基于MATLAB的量化交易平台BotVS - 首家支持传统期货与股票证券与数字货币的量化平台
开源框架
Pandas - 数据分析包Zipline - 一个Python的回测框架vnpy - 基于python的开源交易平台开发框架tushare - 财经数据接口包easytrader - 进行自动的程序化股票交易pyalgotrade - 一个Python的事件驱动回测框架pyalgotrade-cn - Pyalgotrade-cn在原版pyalgotrade的基础上加入了A股历史行情回测,并整合了tushare提供实时行情。zwPython - 基于winpython的集成式python开发平台quantmod - 量化金融建模rqalpha - 基于Python的回测引擎quantdigger - 基于python的量化回测框架pyktrader - 基于pyctp接口,并采用vnpy的eventEngine,使用tkinter作为GUI的python交易平台QuantConnect/Lean - Lean Algorithmic Trading Engine by QuantConnect (C#, Python, F#, VB, Java)QUANTAXIS - 量化金融策略框架
其他量化交易平台:
Progress Apama、龙软DTS、国泰安量化投资平台、飞创STP、易盛程序化交易、盛立SPT平台、天软量化回测平台 、量邦天语、EQB-Quant数据源
TuShare - 中文财经数据接口包Quandl - 国际金融和经济数据Wind资讯-经济数据库 - 收费东方财富 Choice金融数据研究终端 - 收费iFinD 同花顺金融数据终端 - 收费朝阳永续 Go-Goal数据终端 - 收费天软数据 - 收费国泰安数据服务中心 - 收费锐思数据 - 收费恒生API - 收费Bloomberg API - 收费数库金融数据和深度分析API服务 - 收费Historical Data Sources - 一个数据源索引预测者网 - 收费巨潮资讯 - 收费通联数据商城 - 收费通达信 - 免费历史数据 - 文档 | BigQuant - 免费新浪、雅虎、东方财富网 - 免费聚合数据、数粮 、数据宝 - 收费
数据库
manahl/arctic: High performance datastore for time series and tick data - 基于mongodb和python的高性能时间序列和tick数据存储kdb | The Leader in High-Performance Tick Database Technology | Kx Systems - 收费的高性能金融序列数据库解决方案MongoDB Blog - 用mongodb存储时间序列数据InfluxDB – Time-Series Data Storage | InfluxData - Go写的分布式时间序列数据库OpenTSDB/opentsdb: A scalable, distributed Time Series Database. - 基于HBase的时间序列数据库kairosdb/kairosdb: Fast scalable time series database - 基于Cassandra的时间序列数据库SQLite Home Page
网站、论坛、社区、博客
国外:
AQR - Alternative Investmentshttp://epchan.blogspot.jp/FOSS Tradingwilmott.com - ForumTraders Magazine: The stock dealers and institutional traders complete interactive news and information servicehttp://practicalquant.blogspot.jp/view=classichttp://www.thewholestreet.com/Implementing QuantLibhttp://tradingwithpython.blogspot.jp/Coding the marketsQuantivityQuant Mashup | QuantocracyOn a long enough timeline the survival rate for everyone drops to zeroKeplerian Finance - exploring the boundaries of quantitative financeThe Journal of Trading: HomeAll things finance and technology...Quant NewsQuantitative Trading Strategies | Numerical Method Inc.Nuclear PhynanceElite TraderMeb Faber Research - Stock Market and Investing BlogPortfolio Workstation by Alpha Levelhttp://falkenblog.blogspot.jp/Quantitative Finance Stack ExchangeThe mathematics of investing and markets • r/quantfinanceQuantNet CommunityQUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and tradingQUSMA - Quantitative Systematic Market Analysishttps://abnormalreturns.com/CSSAhttp://www.tradingtheodds.com/Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary OptionsCollective2 - The platform that connects investors with top-tradersAlvarez Quant TradingThe Marketplace For Algorithmic Trading Systems | QuantiacsQuantitative FinanceQuantopian LecturesKitces.com - Advancing Knowledge in Financial PlanningForex FactoryThe R TraderHow to be a Quant关于交易策略的机器学习scikit-learn: machine learning in PythonPaul WilmottThe Trend is your FriendPractical QuantJohn Mauldin's Outside the BoxQuantum FinancierQuantified StrategiesBlackRock BlogQuant at Risk
国内:
BigQuant量化社区算法组_新浪微博海洋部落水木社区(经管之家)人大经济论坛清华大学学生经济金融论坛matlab技术论坛微量网Code4Quant量化交易 - 热门问答 - 知乎集思录 - 低风险投资 - 集思录雪球 - 聪明的投资者都在这里myquant/strategy: 掘金策略集锦botvs/strategies - 用Javascript or Python进行量化交易芝诺量化交易,程序化交易统计之都 (Capital of Statistics)中国量化投资学会宽客 (Quant) - 索引 - 知乎faruto的博客博文_bicloud_新浪博客博文_郑来轶_新浪博客flitter_新浪博客david自由之路作者安道全_新浪博客债券的大拿没钱又丑期货用来复盘的blog花荣_新浪博客股海泛舟 - 股海范舟带头大哥777的博客
交易API
上海期货信息技术有限公司CTP API - 期货交易所提供的API飞马快速交易平台 - 上海金融期货信息技术有限公司 - 飞马大连飞创信息技术有限公司 - 飞创vnpy - 基于python的开源交易平台开发框架QuantBox/XAPI2 - 统一行情交易接口第2版easytrader - 提供券商华泰/佣金宝/银河/广发/雪球的基金、股票自动程序化交易,量化交易组件IB API | Interactive Brokers - 盈透证券的交易API
编程Python安装
Anaconda - 推荐通过清华大学镜像 下载安装Pycharm downloadPython Extension Packages for Windows - Christoph Gohlke - Windows用户从这里可以下载许多python库的预编译包
教程
Python | Codecademy用 Python 玩转数据 - 南京大学 | CourseraGoogle 开源项目风格指南 (中文版)廖雪峰python教程Introduction to Data Science in Python - University of Michigan | CourseraThe Python TutorialPython for FinanceAlgorithmic Thinking - Python 算法思维训练Python Cookbook 3rd Edition Documentation

Python Extension Packages for Windowsawesome-python: A curated list of awesome Python frameworks, libraries, software and resourcespandas - Python做数据分析的基础pyql: Cython QuantLib wrappers
ffn - 绩效评估ta-lib: Python wrapper for TA-Lib (http://ta-lib.org/). - 技术指标StatsModels: Statistics in Python — statsmodels documentation - 常用统计模型arch: ARCH models in Python - 时间序列pyfolio: Portfolio and risk analytics in Python - 组合风险评估twosigma/flint: A Time Series Library for Apache Spark - Apache Spark上的时间序列库
R安装
The Comprehensive R Archive Network - 从国内清华镜像下载安装RStudio - R的常用开发平台下载
教程
Free Introduction to R Programming Online Course - datacamp的在线学习R Programming - 约翰霍普金斯大学 | CourseraIntro to Computational Finance with R - 用R进行计算金融分析

CRAN Task View: Empirical Finance - CRAN官方的R金融相关包整理qinwf/awesome-R: A curated list of awesome R packages, frameworks and software.- R包的awesome
C++教程
C++程序设计 - 北京大学 郭炜基于Linux的C++ - 清华大学 乔林面向对象程序设计(C++) - 清华大学 徐明星C++ Design Patterns and Derivatives Pricing - C++设计模式C++ reference - cppreference.com - 在线文档

fffaraz/awesome-cpp: A curated list of awesome C/C++ frameworks, libraries, resources, and shiny things. - C++库整理rigtorp/awesome-modern-cpp: A collection of resources on modern C++ - 现代C++库整理QuantLib: a free/open-source library for quantitative financelibtrading/libtrading: Libtrading, an ultra low-latency trading connectivity library for C and C++.
Julia教程
Learning Julia - 官方整理QUANTITATIVE ECONOMICS with Julia - 经济学诺奖获得者Thomas Sargent教你Julia在量化经济的应用。

Quantitative Finance in Julia - 多数为正在实现中,感兴趣的可以参与
编程论坛
Stack OverflowSegmentFaultQuora Github知乎 - 与世界分享你的知识、经验和见解
编程能力在线训练
Solve Programming Questions | HackerRank - 包含常用语言(C++, Java, Python, Ruby, SQL)和相关计算机应用技术(算法、数据结构、数学、AI、Linux Shell、分布式系统、正则表达式、安全)的教程和挑战。LeetCode Online Judge - C, C++, Java, Python, C#, JavaScript, Ruby, Bash, MySQL在线编程训练
Quant Books
《投资学》第6版[美]兹维·博迪.文字版 (link)《打开量化投资的黑箱》 里什·纳兰《宽客》[美] 斯科特·帕特森(Scott Patterson) 著;译科,卢开济 译《解读量化投资:西蒙斯用公式打败市场的故事》 忻海 《Trends in Quantitative Finance》 Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm《漫步华尔街》麦基尔《海龟交易法则》柯蒂斯·费思《交易策略评估与最佳化》罗伯特·帕多《统计套利》 安德鲁·波尔《信号与噪声》纳特•西尔弗《期货截拳道》朱淋靖《量化投资—策略与技术》 丁鹏《量化投资—以matlab为工具》 李洋faruto《量化投资策略:如何实现超额收益Alpha》 吴冲锋《中低频量化交易策略研发(上)》 杨博理《走出幻觉走向成熟》 金融帝国《失控》凯文·凯利 《通往财务自由之路》范K撒普《以交易为生》 埃尔德《超越技术分析》图莎尔·钱德《高级技术分析》布鲁斯·巴布科克《积极型投资组合管理》格里纳德,卡恩《金融计量学:从初级到高级建模技术》 斯维特洛扎《投资革命》Bernstein《富可敌国》Sebastian Mallaby《量化交易——如何建立自己的算法交易事业》欧内斯特·陈《聪明的投资者》 巴菲特《黑天鹅·如何应对不可知的未来》 纳西姆·塔勒布
《期权、期货和其他衍生品》 约翰·赫尔《Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals》 Keith Fitschen《Quantitative Equity Investing》by Frank J. Fabozzi, Sergio M. Focardi, Petter N. KolmBarra USE3 handbook《Quantitative Equity Portfolio Management》 Ludwig Chincarini《Quantitative Equity Portfolio Management》 Qian & Hua & Sorensen
 Quant PapersMachine Learning Related
Cavalcante, Rodolfo C., et al. "Computational Intelligence and Financial Markets: A Survey and Future Directions." Expert Systems with Applications 55 (2016): 194-211.(link)
Low Frequency Prediction
Atsalakis G S, Valavanis K P. Surveying stock market forecasting techniques Part II: Soft computing methods. Expert Systems with Applications, 2009, 36(3):5932–5941. (link)Cai X, Lin X. Feature Extraction Using Restricted Boltzmann Machine for Stock Price Predic- tion. 2012 IEEE International Conference on Computer Science and Automation Engineering (CSAE), 2012. 80–83.(link)Nair B B, Dharini N M, Mohandas V P. A stock market trend prediction system using a hybrid decision tree-neuro-fuzzy system. Proceedings - 2nd International Conference on Advances in Recent Technologies in Communication and Computing, ARTCom 2010, 2010. 381–385. (link)Lu C J, Lee T S, Chiu C C. Financial time series forecasting using independent component analysis and support vector regression. Decision Support Systems, 2009, 47(2):115–125. (link)Creamer G, Freund Y. Automated trading with boosting and expert weighting. Quantitative Finance, 2010, 10(4):401–420. (link)Batres-Estrada, Bilberto. "Deep learning for multivariate financial time series." (2015). (link)Xiong, Ruoxuan, Eric P. Nicholas, and Yuan Shen. "Deep Learning Stock Volatilities with Google Domestic Trends." arXiv preprint arXiv:1512.04916 (2015).(link)Sharang, Abhijit, and Chetan Rao. "Using machine learning for medium frequency derivative portfolio trading." arXiv preprint arXiv:1512.06228 (2015).(link)
Reinforcement Learning
Dempster, Michael AH, and Vasco Leemans. "An automated FX trading system using adaptive reinforcement learning." Expert Systems with Applications 30.3 (2006): 543-552. (link)Tan, Zhiyong, Chai Quek, and Philip YK Cheng. "Stock trading with cycles: A financial application of ANFIS and reinforcement learning." Expert Systems with Applications 38.5 (2011): 4741-4755. (link)Rutkauskas, Aleksandras Vytautas, and Tomas Ramanauskas. "Building an artificial stock market populated by reinforcement‐learning agents." Journal of Business Economics and Management 10.4 (2009): 329-341.(link)Deng, Yue, et al. "Deep Direct Reinforcement Learning for Financial Signal Representation and Trading." (2016).(link)
Natual Language Processing Related
Bollen J, Mao H, Zeng X. Twitter mood predicts the stock market. Journal of Computational Science, 2011, 2(1):1–8. (link)Preis T, Moat H S, Stanley H E, et al. Quantifying trading behavior in financial markets using Google Trends. Scientific reports, 2013, 3:1684. (link)Moat H S, Curme C, Avakian A, et al. Quantifying Wikipedia Usage Patterns Before Stock Market Moves. Scientific Reports, 2013, 3:1–5. (link)Ding, Xiao, et al. "Deep learning for event-driven stock prediction." Proceedings of the 24th International Joint Conference on Artificial Intelligence (ICJAI’15). 2015. (link)Fehrer, R., & Feuerriegel, S. (2015). Improving Decision Analytics with Deep Learning: The Case of Financial Disclosures. arXiv preprint arXiv:1508.01993. (link)
High Frequency Trading
Nevmyvaka Y, Feng Y, Kearns M. Reinforcement learning for optimized trade execution. Proceedings of the 23rd international conference on Machine learning ICML 06, 2006, 17(1):673–680. (link)Ganchev K, Nevmyvaka Y, Kearns M, et al. Censored exploration and the dark pool problem. Communications of the ACM, 2010, 53(5):99. (link)Kearns M, Nevmyvaka Y. Machine learning for market microstructure and high frequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link)Sirignano, Justin A. "Deep Learning for Limit Order Books." arXiv preprint arXiv:1601.01987 (2016). (link)Deng, Yue, et al. "Sparse coding-inspired optimal trading system for HFT industry." IEEE Transactions on Industrial Informatics 11.2 (2015): 467-475.(link)Ahuja, Saran, et al. "Limit order trading with a mean reverting reference price." arXiv preprint arXiv:1607.00454 (2016). (link)Aït-Sahalia, Yacine, and Jean Jacod. "Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data." Journal of Economic Literature 50.4 (2012): 1007-1050. (link)
Portfolio Management
B. Li and S. C. H. Hoi, “Online portfolio selection,” ACM Comput. Surv., vol. 46, no. 3, pp. 1–36, 2014. (link)Heaton, J. B., Polson, N. G., & Witte, J. H. (2016). Deep Portfolio Theory. (link)Eugene F. Fama, Kenneth R. French. The cross-section of expected stock returns. Journal of Finance, 47 (1992), pp. 427–465.
学术期刊一堆=medium学术期刊可以常常去浏览一下,也会有许多思路,作者常常看的有:
Journal of FinanceJournal of Financial EconomicsReview of Financial StudiesJournal of Accounting and EconomicsReview of Accounting StudiesJournal of Accounting ResearchAccounting ReviewJournal of Financial and Quantitative AnalysisFinancial Analysts JournalFinancial ManagementJournal of Empirical FinanceQuantitative FinanceJournal of Alternative InvestmentsJournal of Fixed IncomeJournal of InvestingJournal of Portfolio ManagementJournal of TradingReview of Asset Pricing Studies经济研究经济学(季刊)金融研究管理世界会计研究投资研究
 
https://zhuanlan.zhihu.com/p/26179943 查看全部
 
 
史上最全Quant资源整理
有些国外的平台、社区、博客如果连接无法打开,那说明可能需要“科学”上网量化交易平台
国内在线量化平台:

国外量化平台:

相关平台:
  • 掘金量化 - 支持C/C++、C#、MATLAB、Python和R的量化交易平台
  • DigQuant - 提供基于matlab量化工具
  • SmartQuant - 策略交易平台
  • OpenQuant - 基于C#的开源量化回测平台

基于图表的量化交易平台
  • 文华赢智 、TB、金字塔、MultiCharts 中国版 - 程序化交易软件、MT4、TradeStation
  • Auto-Trader - 基于MATLAB的量化交易平台
  • BotVS - 首家支持传统期货与股票证券与数字货币的量化平台

开源框架
  • Pandas - 数据分析包
  • Zipline - 一个Python的回测框架
  • vnpy - 基于python的开源交易平台开发框架
  • tushare - 财经数据接口包
  • easytrader - 进行自动的程序化股票交易
  • pyalgotrade - 一个Python的事件驱动回测框架
  • pyalgotrade-cn - Pyalgotrade-cn在原版pyalgotrade的基础上加入了A股历史行情回测,并整合了tushare提供实时行情。
  • zwPython - 基于winpython的集成式python开发平台
  • quantmod - 量化金融建模
  • rqalpha - 基于Python的回测引擎
  • quantdigger - 基于python的量化回测框架
  • pyktrader - 基于pyctp接口,并采用vnpy的eventEngine,使用tkinter作为GUI的python交易平台
  • QuantConnect/Lean - Lean Algorithmic Trading Engine by QuantConnect (C#, Python, F#, VB, Java)
  • QUANTAXIS - 量化金融策略框架

其他量化交易平台:
Progress Apama、龙软DTS、国泰安量化投资平台、飞创STP、易盛程序化交易、盛立SPT平台、天软量化回测平台 、量邦天语、EQB-Quant数据源

数据库

网站、论坛、社区、博客
国外:

国内:

交易API

编程Python安装

教程




R安装

教程



C++教程



Julia教程



编程论坛

编程能力在线训练
  • Solve Programming Questions | HackerRank - 包含常用语言(C++, Java, Python, Ruby, SQL)和相关计算机应用技术(算法、数据结构、数学、AI、Linux Shell、分布式系统、正则表达式、安全)的教程和挑战。
  • LeetCode Online Judge - C, C++, Java, Python, C#, JavaScript, Ruby, Bash, MySQL在线编程训练

Quant Books
  • 《投资学》第6版[美]兹维·博迪.文字版 (link)
  • 《打开量化投资的黑箱》 里什·纳兰
  • 《宽客》[美] 斯科特·帕特森Scott Patterson) 著;译科卢开济 译
  • 《解读量化投资:西蒙斯用公式打败市场的故事》 忻海 
  • 《Trends in Quantitative Finance》 Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
  • 《漫步华尔街》麦基尔
  • 《海龟交易法则》柯蒂斯·费思
  • 《交易策略评估与最佳化》罗伯特·帕多
  • 《统计套利》 安德鲁·波尔《信号与噪声》纳特•西尔弗
  • 《期货截拳道》朱淋靖
  • 《量化投资—策略与技术》 丁鹏
  • 《量化投资—以matlab为工具》 李洋faruto
  • 《量化投资策略:如何实现超额收益Alpha》 吴冲锋
  • 《中低频量化交易策略研发(上)》 杨博理
  • 《走出幻觉走向成熟》 金融帝国
  • 《失控》凯文·凯利 《通往财务自由之路》范K撒普
  • 《以交易为生》 埃尔德
  • 《超越技术分析》图莎尔·钱德
  • 《高级技术分析》布鲁斯·巴布科克
  • 《积极型投资组合管理》格里纳德,卡恩
  • 《金融计量学:从初级到高级建模技术》 斯维特洛扎
  • 《投资革命》Bernstein
  • 《富可敌国》Sebastian Mallaby
  • 《量化交易——如何建立自己的算法交易事业》欧内斯特·陈
  • 聪明的投资者》 巴菲特
  • 《黑天鹅·如何应对不可知的未来》 纳西姆·塔勒布

  • 《期权、期货和其他衍生品》 约翰·赫尔
  • 《Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals》 Keith Fitschen
  • 《Quantitative Equity Investing》by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
  • Barra USE3 handbook
  • 《Quantitative Equity Portfolio Management》 Ludwig Chincarini
  • 《Quantitative Equity Portfolio Management》 Qian & Hua & Sorensen

 Quant PapersMachine Learning Related
  • Cavalcante, Rodolfo C., et al. "Computational Intelligence and Financial Markets: A Survey and Future Directions." Expert Systems with Applications 55 (2016): 194-211.(link)

Low Frequency Prediction
  • Atsalakis G S, Valavanis K P. Surveying stock market forecasting techniques Part II: Soft computing methods. Expert Systems with Applications, 2009, 36(3):5932–5941. (link)
  • Cai X, Lin X. Feature Extraction Using Restricted Boltzmann Machine for Stock Price Predic- tion. 2012 IEEE International Conference on Computer Science and Automation Engineering (CSAE), 2012. 80–83.(link)
  • Nair B B, Dharini N M, Mohandas V P. A stock market trend prediction system using a hybrid decision tree-neuro-fuzzy system. Proceedings - 2nd International Conference on Advances in Recent Technologies in Communication and Computing, ARTCom 2010, 2010. 381–385. (link)
  • Lu C J, Lee T S, Chiu C C. Financial time series forecasting using independent component analysis and support vector regression. Decision Support Systems, 2009, 47(2):115–125. (link)
  • Creamer G, Freund Y. Automated trading with boosting and expert weighting. Quantitative Finance, 2010, 10(4):401–420. (link)
  • Batres-Estrada, Bilberto. "Deep learning for multivariate financial time series." (2015). (link)
  • Xiong, Ruoxuan, Eric P. Nicholas, and Yuan Shen. "Deep Learning Stock Volatilities with Google Domestic Trends." arXiv preprint arXiv:1512.04916 (2015).(link)
  • Sharang, Abhijit, and Chetan Rao. "Using machine learning for medium frequency derivative portfolio trading." arXiv preprint arXiv:1512.06228 (2015).(link)

Reinforcement Learning
  • Dempster, Michael AH, and Vasco Leemans. "An automated FX trading system using adaptive reinforcement learning." Expert Systems with Applications 30.3 (2006): 543-552. (link)
  • Tan, Zhiyong, Chai Quek, and Philip YK Cheng. "Stock trading with cycles: A financial application of ANFIS and reinforcement learning." Expert Systems with Applications 38.5 (2011): 4741-4755. (link)
  • Rutkauskas, Aleksandras Vytautas, and Tomas Ramanauskas. "Building an artificial stock market populated by reinforcement‐learning agents." Journal of Business Economics and Management 10.4 (2009): 329-341.(link)
  • Deng, Yue, et al. "Deep Direct Reinforcement Learning for Financial Signal Representation and Trading." (2016).(link)

Natual Language Processing Related
  • Bollen J, Mao H, Zeng X. Twitter mood predicts the stock market. Journal of Computational Science, 2011, 2(1):1–8. (link)
  • Preis T, Moat H S, Stanley H E, et al. Quantifying trading behavior in financial markets using Google Trends. Scientific reports, 2013, 3:1684. (link)
  • Moat H S, Curme C, Avakian A, et al. Quantifying Wikipedia Usage Patterns Before Stock Market Moves. Scientific Reports, 2013, 3:1–5. (link)
  • Ding, Xiao, et al. "Deep learning for event-driven stock prediction." Proceedings of the 24th International Joint Conference on Artificial Intelligence (ICJAI’15). 2015. (link)
  • Fehrer, R., & Feuerriegel, S. (2015). Improving Decision Analytics with Deep Learning: The Case of Financial Disclosures. arXiv preprint arXiv:1508.01993. (link)

High Frequency Trading
  • Nevmyvaka Y, Feng Y, Kearns M. Reinforcement learning for optimized trade execution. Proceedings of the 23rd international conference on Machine learning ICML 06, 2006, 17(1):673–680. (link)
  • Ganchev K, Nevmyvaka Y, Kearns M, et al. Censored exploration and the dark pool problem. Communications of the ACM, 2010, 53(5):99. (link)
  • Kearns M, Nevmyvaka Y. Machine learning for market microstructure and high frequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link)
  • Sirignano, Justin A. "Deep Learning for Limit Order Books." arXiv preprint arXiv:1601.01987 (2016). (link)
  • Deng, Yue, et al. "Sparse coding-inspired optimal trading system for HFT industry." IEEE Transactions on Industrial Informatics 11.2 (2015): 467-475.(link)
  • Ahuja, Saran, et al. "Limit order trading with a mean reverting reference price." arXiv preprint arXiv:1607.00454 (2016). (link)
  • Aït-Sahalia, Yacine, and Jean Jacod. "Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data." Journal of Economic Literature 50.4 (2012): 1007-1050. (link)

Portfolio Management
  • B. Li and S. C. H. Hoi, “Online portfolio selection,” ACM Comput. Surv., vol. 46, no. 3, pp. 1–36, 2014. (link)
  • Heaton, J. B., Polson, N. G., & Witte, J. H. (2016). Deep Portfolio Theory. (link)
  • Eugene F. Fama, Kenneth R. French. The cross-section of expected stock returns. Journal of Finance, 47 (1992), pp. 427–465.

学术期刊一堆=medium学术期刊可以常常去浏览一下,也会有许多思路,作者常常看的有:
  • Journal of FinanceJournal of Financial Economics
  • Review of Financial Studies
  • Journal of Accounting and Economics
  • Review of Accounting Studies
  • Journal of Accounting Research
  • Accounting Review
  • Journal of Financial and Quantitative Analysis
  • Financial Analysts Journal
  • Financial Management
  • Journal of Empirical Finance
  • Quantitative Finance
  • Journal of Alternative Investments
  • Journal of Fixed Income
  • Journal of Investing
  • Journal of Portfolio Management
  • Journal of Trading
  • Review of Asset Pricing Studies
  • 经济研究
  • 经济学(季刊)
  • 金融研究
  • 管理世界
  • 会计研究
  • 投资研究

 
https://zhuanlan.zhihu.com/p/26179943

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