量化交易平臺(tái)
國(guó)內(nèi)在線(xiàn)量化平臺(tái)：
- BigQuant - 你的人工智能量化平臺(tái) - 可以無(wú)門(mén)檻地使用機(jī)器學(xué)習(xí)、人工智能開(kāi)發(fā)量化策略，基于python，提供策略自動(dòng)生成器
- 鐳礦 - 基于量化回測(cè)平臺(tái)
- 果仁網(wǎng) - 回測(cè)量化平臺(tái)
- 京東量化 - 算法交易和量化回測(cè)平臺(tái)
- 聚寬 - 量化回測(cè)平臺(tái)
- 優(yōu)礦 - 通聯(lián)量化實(shí)驗(yàn)室
- Ricequant - 量化交易平臺(tái)
- 況客 - 基于R語(yǔ)言量化回測(cè)平臺(tái)
- Factors - 數(shù)庫(kù)多因子量化平臺(tái)
- 諸葛量化
- 寬狗量化
國(guó)外量化平臺(tái)：
Quantopian 研究、回測(cè)、算法眾包平臺(tái)
QuantConnect 研究，回測(cè)和投資交易
Quantstart 研究，回測(cè)和投資交易
ASC 研究、交易平臺(tái)
zulutrade 自動(dòng)交易平臺(tái)
quantpedia 研究、策略平臺(tái)
algotrading101 策略研究平臺(tái)
investopedia 可以股票、外匯模擬交易的財(cái)經(jīng)網(wǎng)站
Amibroker 提供系統(tǒng)交易工具的一家公司
AlgoTrades 股票、ETF、期貨自動(dòng)交易系統(tǒng)
Numerai 數(shù)據(jù)工程師眾包的一家對(duì)沖基金
WealthFront 財(cái)富管理平臺(tái)
Betterment 個(gè)人投資平臺(tái)
TradeLink 量化交易平臺(tái)
ActiveQuant 基于JavaScript開(kāi)源交易開(kāi)發(fā)框架
相關(guān)平臺(tái)：
掘金量化 - 支持C/C++、C#、MATLAB、Python和R的量化交易平臺(tái)
DigQuant - 提供基于matlab量化工具
SmartQuant - 策略交易平臺(tái)
OpenQuant - 基于C#的開(kāi)源量化回測(cè)平臺(tái)
基于圖表的量化交易平臺(tái)
文華贏智 、TB、金字塔、MultiCharts 中國(guó)版 - 程序化交易軟件、MT4、TradeStation
Auto-Trader - 基于MATLAB的量化交易平臺(tái)
BotVS - 首家支持傳統(tǒng)期貨與股票證券與數(shù)字貨幣的量化平臺(tái)
開(kāi)源框架
Pandas - 數(shù)據(jù)分析包
Zipline - 一個(gè)Python的回測(cè)框架
vnpy - 基于python的開(kāi)源交易平臺(tái)開(kāi)發(fā)框架
tushare - 財(cái)經(jīng)數(shù)據(jù)接口包
easytrader - 進(jìn)行自動(dòng)的程序化股票交易
pyalgotrade - 一個(gè)Python的事件驅(qū)動(dòng)回測(cè)框架
pyalgotrade-cn - Pyalgotrade-cn在原版pyalgotrade的基礎(chǔ)上加入了A股歷史行情回測(cè)，并整合了tushare提供實(shí)時(shí)行情。
zwPython - 基于winpython的集成式python開(kāi)發(fā)平臺(tái)
quantmod - 量化金融建模
rqalpha - 基于Python的回測(cè)引擎
quantdigger - 基于python的量化回測(cè)框架
pyktrader - 基于pyctp接口，并采用vnpy的eventEngine，使用tkinter作為GUI的python交易平臺(tái)
QuantConnect/Lean - Lean Algorithmic Trading Engine by QuantConnect (C#, Python, F#, VB, Java)
QUANTAXIS - 量化金融策略框架
其他量化交易平臺(tái)：
Progress Apama、龍軟DTS、國(guó)泰安量化投資平臺(tái)、飛創(chuàng)STP、易盛程序化交易、盛立SPT平臺(tái)、天軟量化回測(cè)平臺(tái) 、量邦天語(yǔ)、EQB-Quant
數(shù)據(jù)源
BigQuant - A股、期權(quán)期貨等多市場(chǎng)海量數(shù)據(jù)
東方財(cái)富 Choice金融數(shù)據(jù)研究終端 - 收費(fèi)
iFinD 同花順金融數(shù)據(jù)終端 - 收費(fèi)
朝陽(yáng)永續(xù) Go-Goal數(shù)據(jù)終端 - 收費(fèi)
天軟數(shù)據(jù) - 收費(fèi)
國(guó)泰安數(shù)據(jù)服務(wù)中心 - 收費(fèi)
銳思數(shù)據(jù) - 收費(fèi)
恒生API - 收費(fèi)
Bloomberg API - 收費(fèi)
數(shù)庫(kù)金融數(shù)據(jù)和深度分析API服務(wù) - 收費(fèi)
預(yù)測(cè)者網(wǎng) - 收費(fèi)
巨潮資訊 - 收費(fèi)
通聯(lián)數(shù)據(jù)商城 - 收費(fèi)
通達(dá)信 - 免費(fèi)
歷史數(shù)據(jù) - 文檔 | BigQuant - 免費(fèi)
新浪、雅虎、東方財(cái)富網(wǎng) - 免費(fèi)
聚合數(shù)據(jù)、數(shù)糧 、數(shù)據(jù)寶 - 收費(fèi)
數(shù)據(jù)庫(kù)
manahl/arctic: High performance datastore for time series and tick data - 基于mongodb和python的高性能時(shí)間序列和tick數(shù)據(jù)存儲(chǔ)
kdb | The Leader in High-Performance Tick Database Technology | Kx Systems - 收費(fèi)的高性能金融序列數(shù)據(jù)庫(kù)解決方案
MongoDB Blog - 用mongodb存儲(chǔ)時(shí)間序列數(shù)據(jù)
InfluxDB – Time-Series Data Storage | InfluxData - Go寫(xiě)的分布式時(shí)間序列數(shù)據(jù)庫(kù)
OpenTSDB/opentsdb: A scalable, distributed Time Series Database. - 基于HBase的時(shí)間序列數(shù)據(jù)庫(kù)
kairosdb/kairosdb: Fast scalable time series database - 基于Cassandra的時(shí)間序列數(shù)據(jù)庫(kù)
網(wǎng)站、論壇、社區(qū)、博客
國(guó)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
- 關(guān)于交易策略的機(jī)器學(xué)習(xí)
- 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
國(guó)內(nèi)：
BigQuant量化社區(qū) -全國(guó)最大的AI量化社區(qū)
botvs/strategies - 用Javascript or Python進(jìn)行量化交易
交易API
- 上海期貨信息技術(shù)有限公司CTP API - 期貨交易所提供的API
- 飛馬快速交易平臺(tái) - 上海金融期貨信息技術(shù)有限公司 - 飛馬
- 大連飛創(chuàng)信息技術(shù)有限公司 - 飛創(chuàng)
- vnpy - 基于python的開(kāi)源交易平臺(tái)開(kāi)發(fā)框架
- QuantBox/XAPI2 - 統(tǒng)一行情交易接口第2版
- easytrader - 提供券商華泰/傭金寶/銀河/廣發(fā)/雪球的基金、股票自動(dòng)程序化交易，量化交易組件
- IB API | Interactive Brokers - 盈透證券的交易API
編程
Python
安裝
Anaconda - 推薦通過(guò)清華大學(xué)鏡像 下載安裝
Pycharm download
Python Extension Packages for Windows - Christoph Gohlke - Windows用戶(hù)從這里可以下載許多python庫(kù)的預(yù)編譯包
教程
Introduction to Data Science in Python - University of Michigan | Coursera
Algorithmic Thinking - Python 算法思維訓(xùn)練
庫(kù)
awesome-python: A curated list of awesome Python frameworks, libraries, software and resources
pandas - Python做數(shù)據(jù)分析的基礎(chǔ)
ffn - 績(jī)效評(píng)估
ta-lib: Python wrapper for TA-Lib (http://ta-lib.org/). - 技術(shù)指標(biāo)
StatsModels: Statistics in Python — statsmodels documentation - 常用統(tǒng)計(jì)模型
arch: ARCH models in Python - 時(shí)間序列
pyfolio: Portfolio and risk analytics in Python - 組合風(fēng)險(xiǎn)評(píng)估
twosigma/flint: A Time Series Library for Apache Spark - Apache Spark上的時(shí)間序列庫(kù)
R
安裝
- The Comprehensive R Archive Network - 從國(guó)內(nèi)清華鏡像下載安裝
- RStudio - R的常用開(kāi)發(fā)平臺(tái)下載
教程
- Free Introduction to R Programming Online Course - datacamp的在線(xiàn)學(xué)習(xí)
- R Programming - 約翰霍普金斯大學(xué) | Coursera
- Intro to Computational Finance with R - 用R進(jìn)行計(jì)算金融分析
庫(kù)
- CRAN Task View: Empirical Finance - CRAN官方的R金融相關(guān)包整理
- qinwf/awesome-R: A curated list of awesome R packages, frameworks and software. - R包的awesome
C++
教程
- C++程序設(shè)計(jì) - 北京大學(xué) 郭煒
- 基于Linux的C++ - 清華大學(xué) 喬林
- 面向?qū)ο蟪绦蛟O(shè)計(jì)（C++） - 清華大學(xué) 徐明星
- C++ Design Patterns and Derivatives Pricing - C++設(shè)計(jì)模式
- C++ reference - cppreference.com - 在線(xiàn)文檔
庫(kù)
- fffaraz/awesome-cpp: A curated list of awesome C/C++ frameworks, libraries, resources, and shiny things. - C++庫(kù)整理
- rigtorp/awesome-modern-cpp: A collection of resources on modern C++ - 現(xiàn)代C++庫(kù)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 - 經(jīng)濟(jì)學(xué)諾獎(jiǎng)獲得者Thomas Sargent教你Julia在量化經(jīng)濟(jì)的應(yīng)用。
庫(kù)
- Quantitative Finance in Julia - 多數(shù)為正在實(shí)現(xiàn)中，感興趣的可以參與
編程論壇
編程能力在線(xiàn)訓(xùn)練
- Solve Programming Questions | HackerRank - 包含常用語(yǔ)言(C++, Java, Python, Ruby, SQL)和相關(guān)計(jì)算機(jī)應(yīng)用技術(shù)(算法、數(shù)據(jù)結(jié)構(gòu)、數(shù)學(xué)、AI、Linux Shell、分布式系統(tǒng)、正則表達(dá)式、安全)的教程和挑戰(zhàn)。
- LeetCode Online Judge - C, C++, Java, Python, C#, JavaScript, Ruby, Bash, MySQL在線(xiàn)編程訓(xùn)練
Quant Books
《投資學(xué)》第6版[美]茲維·博迪.文字版 (link)
《打開(kāi)量化投資的黑箱》 里什·納蘭
《寬客》[美] 斯科特·帕特森（Scott Patterson） 著；譯科，盧開(kāi)濟(jì) 譯
《解讀量化投資：西蒙斯用公式打敗市場(chǎng)的故事》 忻海
《Trends in Quantitative Finance》 Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
《漫步華爾街》麥基爾
《海龜交易法則》柯蒂斯·費(fèi)思
《交易策略評(píng)估與最佳化》羅伯特·帕多
《統(tǒng)計(jì)套利》 安德魯·波爾《信號(hào)與噪聲》納特?西爾弗
《期貨截拳道》朱淋靖
《量化投資—策略與技術(shù)》 丁鵬
《量化投資—以matlab為工具》 李洋faruto
《量化投資策略:如何實(shí)現(xiàn)超額收益Alpha》 吳沖鋒
《中低頻量化交易策略研發(fā)（上）》 楊博理
《走出幻覺(jué)走向成熟》 金融帝國(guó)
《失控》凱文·凱利 《通往財(cái)務(wù)自由之路》范K撒普
《以交易為生》 埃爾德
《超越技術(shù)分析》圖莎爾·錢(qián)德
《高級(jí)技術(shù)分析》布魯斯·巴布科克
《積極型投資組合管理》格里納德，卡恩
《金融計(jì)量學(xué):從初級(jí)到高級(jí)建模技術(shù)》 斯維特洛扎
《投資革命》Bernstein
《富可敵國(guó)》Sebastian Mallaby
《量化交易——如何建立自己的算法交易事業(yè)》歐內(nèi)斯特·陳
《聰明的投資者》 巴菲特
《黑天鵝·如何應(yīng)對(duì)不可知的未來(lái)》 納西姆·塔勒布
《期權(quán)、期貨和其他衍生品》 約翰·赫爾
《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)
- A?t-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.
學(xué)術(shù)期刊
一堆學(xué)術(shù)期刊可以常常去瀏覽一下，也會(huì)有許多思路，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
經(jīng)濟(jì)研究
經(jīng)濟(jì)學(xué)（季刊）
金融研究
管理世界
會(huì)計(jì)研究
投資研究
