Mind Mapping

Categories & Tags

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

SJTU Projects

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

Rating & Content

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

SJTU Projects

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

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