Code | Post | Categories | Tags | Author | Language | Access |
---|---|---|---|---|---|---|
RN011 | Algorithmic Trading & Trading Execution | Portfolio Management, Trading Execution | Notes, Algo Trading | RoyC. | English | P2T |
RN019 | Basic Systematic Trading Strategies in FX | FX | Notes, Systematic Trading | RoyC. | English | P2M |
RN015 | Commodity Risk Models and Common Factors | Commodity | Notes, Risk Models | RoyC. | English | P2T |
RN001 | Comprehensive Guide to Risk and Portfolio Management | Library | Notes | RoyC. | English | P2T |
RN013 | Equity Risk Models Collection in MFM Framework | Equity, Portfolio Management | Notes, Systematic Trading, Risk Models | RoyC. | English | P2T |
RN008 | Fixed Income Models & Derivatives | Rates | Notes | RoyC. | English | P2T |
RN023 | Fixed Income Trading Views and Aspects | Rates | Notes, Systematic Trading | RoyC. | English | P2M |
RN018 | Foreign Exchange Derivatives Models (Working) | FX | Notes, Pricing | RoyC. | English | P2T |
RN006 | Fundamental Indicators for Commodity Futures | Commodity Futures | Notes, Systematic Trading | RoyC. | English | P1M |
RN007 | Fundamental Models for Commodity Derivatives | Commodity Futures | Notes, Systematic Trading, Pricing | RoyC. | English | P2T |
RP004 | How do I evaluate Indicators | Portfolio Management | Research, Systematic Trading | RoyC. | English | P1M |
RN010 | Interest Rate Curve Fitting | Rates | Notes | RoyC. | English | P2T |
RN009 | Interest Rate Models | Rates | Notes, Pricing | RoyC. & Boyi | English | P2T |
RT006 | Machine Learning (Working) | Library | Notes | RoyC. & Boyi | English | P2T |
RN003 | MFM and Alpha Strategy Framework | Equity, Portfolio Management | Notes, Systematic Trading | RoyC. | Chinese | P1M |
RN004 | MPT, MFM and Optimization with Costs | Equity, Portfolio Management | Notes, Systematic Trading | RoyC. & Boyi | English | P2T |
RN002 | Option Pricing | Volatility | Notes, Pricing | RoyC. | English | P2T |
RN012 | Pair Trading Strategies by Cointegration (Working) | Equity, Commodity Futures | Notes, Systematic Trading | RoyC. | English | P2M |
RN014 | Rates and FX Risk Models Collection in MFM Framework | Portfolio Management, Rates, FX | Notes, Systematic Trading, Risk Models | RoyC. | English | P2T |
RP001 | Resume Projects & Quant Interview Notes | - | Personal | RoyC. | English | OT |
RN021 | Risk Factor Investing Across Asset Classes | Portfolio Management | Notes, Systematic Trading, Factor Investing, Risk Models | RoyC. | English | P2M |
RN005 | Risk Parity Portfolio and Numerical Methods | Portfolio Management | Notes, Systematic Trading | RoyC. | English | P2T |
RT001 | Roy Toolkit Box | Library | Notes, Toy | RoyC. | Chinese, English | OT |
RT002 | Scientific Computing Notebook (Part 1) | Library | Notes | RoyC. | English | OT |
RT003 | Scientific Computing Notebook (Part 2) | Library | Notes | RoyC. | English | OT |
RT005 | Time Series Models and Applications | Library | Notes | RoyC. | English | P2T |
RR006 | Trading Strategies Based on Market Regime | Commodity Futures | Research, Systematic Trading | RoyC. | Chinese | P1M |
RN016 | Volatility and Correlation Modeling Overview | Volatility, Correlation | Notes, Pricing | RoyC | English | P2T |
RN017 | Volatility Forecasting Models Collection | Volatility | Notes | RoyC | English | P2T |
Code | Post | Categories | Tags | Author | Language | Access |
---|---|---|---|---|---|---|
RR005 | An Empirical Study on Issuing Interest Rate of China's Asset Securitization Products | Rates | Research | RoyC. | Chinese | P1T |
RR001 | Fama-French Models Application in China A-share Market | Equity | Presentation, Toy | RoyC. | Chinese | P1T |
RR003 | Financial and Economic Cycle Analysis by FFT | Macro | Research | RoyC. | Chinese | P1T |
RR002 | Herding Behavior in China Financial Markets | Equity | Research | RoyC. | English | P1T |
RR004 | HMM and Applications | Equity | Presentation, Toy | RoyC. | English | P1T |
Code | Post | Length | Rating | Content |
---|---|---|---|---|
RN011 | Algorithmic Trading & Trading Execution | Long | ★★★ | Algo trading related topics: market impact modeling, trading execution methods and classical micro-market structure models |
RN019 | Basic Systematic Trading Strategies in FX | Medium | ★★ | Basic trading strategies for FX, including MOM and Carry, and also topics on factor investing |
RN015 | Commodity Risk Models and Common Factors | Medium | ★★ | Introduction to Bloomberg commodity risk model, and other commodity factor models, mainly focus on risks instead of alphas |
RN001 | Comprehensive Guide to Risk and Portfolio Management | Long | ★ | Basic introduction to models in quant finance, including rates, equity portfolio, XVA, distribution/correlation/volatility modeling, a good overview |
RN013 | Equity Risk Models Collection in MFM Framework | Long | ★★★ | Equity risk models collection, including Barra, Axioma, Bloomberg and so on, with factor formulations attached, they share similar characteristics |
RN008 | Fixed Income Models & Derivatives | Long | ★ | Reading Notes of Fixed Income Securities by Bruce Tuckman, more market stuff is updated, a good start up for fixed income section |
RN023 | Fixed Income Trading Views and Aspects | Working | ★★ | Trading perspectives and views for fixed income securities, like treasury/swaps/derivatives |
RN018 | Foreign Exchange Derivatives Models (Working) | Working | ★★ | FX markets, and related derivatives modeling, which can be general instead of showing specific attributes of FX |
RN006 | Fundamental Indicators for Commodity Futures | Medium | ★★ | Collection of non-technique/fundamental indicators in commodity futures market, trading views (CN sellside reports), contains N-hand information, I don't think you can get much risk premium here |
RN007 | Fundamental Models for Commodity Derivatives | Long | ★★★ | More fundamental trading aspect of commodity futures especially energy products, pricing models and option related topics, typics are not simple (NYU Courses) |
RP004 | How do I evaluate Indicators | Medium | ★ | Personal methods of evaluating indicators, risk metrices and constructing portfolios, covers many tiny topics but practical |
RN010 | Interest Rate Curve Fitting | Medium | ★★ | Classical interest rate curving fitting techniques and functions, with python codes |
RN009 | Interest Rate Models | Medium | ★★ | Short rate and LMM models, PDE math involved, mainly in theories |
RT006 | Machine Learning (Working) | Working | 🔨 | Machine learning notes and related materials, I wanted to write watermelon book notes, but don't get time yet, and also found better books |
RN003 | MFM and Alpha Strategy Framework | Long | ★★ | MFM models, alpha/risk models and optimization (CN sellside reports), it's a comprehensive collection of how to do this |
RN004 | MPT, MFM and Optimization with Costs | Long | ★★★ | More MFM models, MVO & enhancement, Trading costs modeling and related optimization, it's more in theories but in details (NYU Courses & papers) |
RN002 | Option Pricing | Long | ★ | Option pricing notes, PDEs and Greeks, a little exotics and interview questions, a good start for option pricing |
RN012 | Pair Trading Strategies by Cointegration (Working) | Working | ★★ | Pair trading strategies and modifications, pending to write |
RN014 | Rates and FX Risk Models Collection in MFM Framework | Medium | ★★ | Barra risk models for rates and FX, Bloomberg fixed income risk model, good to know |
RP001 | Resume Projects & Quant Interview Notes | Medium | ★ | Resume projects introduction in detail, interview prepare notes |
RN021 | Risk Factor Investing Across Asset Classes | Medium | ★★★ | Risk factors including Carry, Value, Momentum, Volatility performance across assets, and how to construct portfolio based on them |
RN005 | Risk Parity Portfolio and Numerical Methods | Medium | ★★ | Risk Parity portfolio insights, HRP, numerical solutions (not in detail) with python codes |
RT001 | Roy Toolkit Box | Medium | 🔨 | Python Talib, pyxll package, coding standard, financial books |
RT002 | Scientific Computing Notebook (Part 1) | Long | 🔨 | Basic numerical computing methods based on Python, cover linear algebra, root finding, interpolation, simulation etc. (NYU Courses) |
RT003 | Scientific Computing Notebook (Part 2) | Long | 🔨 | Basic numerical computing methods based on Python, cover optimization, linear programming, ODE, PDE etc. (NYU Courses) |
RT005 | Time Series Models and Applications | Short | 🔨 | Time series models and applications, with codes and Eviews guidance, ARIMA/GARCH type models, stationary topics |
RR006 | Trading Strategies Based on Market Regime | Medium | ★★ | Independent research of a type of regime-switch trading strategy and testing, not very useful but good to know some of the results |
RN016 | Volatility and Correlation Modeling Overview | Medium | ★★ | Introduction of volatility & correlation modeling and trading, pricing derivatives, stochastic models, a little bit in theories but good to start |
RN017 | Volatility Forecasting Models Collection | Medium | ★★ | GARCH-type, ISD, SV models to forecast volatility, keep developing and may add ML models in the section |
Code | Post | Length | Rating | Content |
---|---|---|---|---|
RR005 | An Empirical Study on Issuing Interest Rate of China's Asset Securitization Products | Long | ☆ | SJTU thesis, ABS issuing rates insights, nothing new but robust linear regression with possible explanations |
RR001 | Fama-French Models Application in China A-share Market | Short | ☆ | SJTU project, FF models testing in China market, a simple and toy project done years ago |
RR003 | Financial and Economic Cycle Analysis by FFT | Medium | ★ | SJTU project, using FFT and other signal processing methods to analyze market and macro indices, trading strategies mentioned, a good one for macro rotation but mainly based on statistics |
RR002 | Herding Behavior in China Financial Markets | Long | ☆ | SJTU project, herding behavior measure and testing, just empirical study |
RR004 | HMM and Applications | Short | ☆ | SJTU project, Hidden Markov Model introduction and application, with simple empirical testing |
These page is created by RoyCheng, and only for my personal study. NO ONE
is allowed to copy, download or distribute the notes. If you have any
question, please contact us.