| 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 |
