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、TradeStation |
Auto-Trader - 基于MATLAB的量化交易平台 |
BotVS - 云端在线量化平台 |
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 Investments |
http://epchan.blogspot.jp/ |
FOSS Trading |
wilmott.com - Forum |
Traders Magazine: The stock dealers and institutional traders complete interactive news and information service |
http://practicalquant.blogspot.jp/?view=classic |
http://www.thewholestreet.com/ |
Implementing QuantLib |
http://tradingwithpython.blogspot.jp/ |
Coding the markets |
Quantivity |
Quant Mashup | Quantocracy |
On a long enough timeline the survival rate for everyone drops to zero |
Keplerian Finance - exploring the boundaries of quantitative finance |
The Journal of Trading: Home |
All things finance and technology... |
Quant News |
Quantitative Trading Strategies | Numerical Method Inc. |
Nuclear Phynance |
Elite Trader |
Meb Faber Research - Stock Market and Investing Blog |
Portfolio Workstation by Alpha Level |
http://falkenblog.blogspot.jp/ |
Quantitative Finance Stack Exchange |
The mathematics of investing and markets • r/quantfinance |
QuantNet Community |
QUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and trading |
QUSMA - Quantitative Systematic Market Analysis |
https://abnormalreturns.com/ |
CSSA |
http://www.tradingtheodds.com/ |
Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary Options |
Collective2 - The platform that connects investors with top-traders |
Alvarez Quant Trading |
The Marketplace For Algorithmic Trading Systems | Quantiacs |
Quantitative Finance |
Quantopian Lectures |
Kitces.com - Advancing Knowledge in Financial Planning |
Forex Factory |
The R Trader |
How to be a Quant |
关于交易策略的机器学习 |
scikit-learn: machine learning in Python |
Paul Wilmott |
The Trend is your Friend |
Practical Quant |
John Mauldin's Outside the Box |
Quantum Financier |
Quantified Strategies |
BlackRock Blog |
Quant 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 download |
Python 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 | Coursera |
Google 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 | Coursera |
The Python Tutorial |
Python for Finance |
Algorithmic Thinking - Python 算法思维训练 |
Python Cookbook 3rd Edition Documentation |
库 |
Python Extension Packages for Windows |
awesome-python: A curated list of awesome Python frameworks, libraries, software and resources |
pandas - 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 | Coursera |
Intro to Computational Finance with R - 用R进行计算金融分析 |
库 |
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 |
库 |
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 finance |
libtrading/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。 |
库 |
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 Overflow |
SegmentFault |
Quora |
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》 本杰明·格雷厄姆 |
《黑天鹅·如何应对不可知的未来》 纳西姆·塔勒布 |
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《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 Papers |
Machine 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 |