Quant Mashup - Quant Start

Installing TensorFlow on Ubuntu 16.04 with an Nvidia GPU [Quant Start]

Any serious quant trading research with machine learning models necessitates the use of a framework that abstracts away the model implementation from the model specification. This is particularly crucial for deep learning techniques as production-grade models require training on GPUs to make them

*- 1 year ago, 30 Nov 2017, 09:42pm -*

QSTrader: November 2017 Update [Quant Start]

Last month I presented a detailed roadmap for the redevelopment of QSTrader, our open-source systematic trading simulation engine. Today I want to discuss our progress in the month since that article was published and what still remains to be completed prior to the initial 0.1.0 alpha release.

*- 1 year ago, 26 Nov 2017, 09:33pm -*

QSTrader: A Major Update On Our Progress [Quant Start]

I spoke at the Open Data Science London conference last weekend on the topic of becoming a quant. Part of the talk was aimed at educating practising data scientists on the fact that quantitative finance firms do actually contribute to, and create, many open source projects. One such project is

*- 1 year ago, 18 Oct 2017, 10:32am -*

Capital Raising for Early Stage Quant Fund Managers - Part I [Quant Start]

This is the first in a two part series of articles written by Frank Smietana, an expert guest contributor to QuantStart. In this article Frank takes a look at how early-stage quantitative hedge fund managers can go about looking to secure their first institutional allocation of capital. Please be

*- 1 year ago, 3 Oct 2017, 10:57pm -*

High Frequency Trading III: Optimal Execution [Quant Start]

In this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart outlines the basics of high-frequency trading. In this article Imanol uses the theory of stochastic optimal control to optimally execute a large trade order. It

*- 1 year ago, 27 Sep 2017, 01:24pm -*

High Frequency Trading II: Limit Order Book [Quant Start]

In this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart continues the discussion of high-frequency trading via the introduction of the limit order book. As we saw in the in the first article of the series, the

*- 1 year ago, 12 Sep 2017, 01:23pm -*

Best Operating System For Quant Trading? [Quant Start]

One question that I am asked frequently is which operating system to use for quantitative trading research and implementation. The short answer, as of the writing date of this article, is if you want to carry out any serious/mathematical quant trading research (machine learning/deep learning) you

*- 1 year ago, 7 Sep 2017, 09:41am -*

High Frequency Trading I: Introduction to Market Microstructure [Quant Start]

In this new article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart delves into high-frequency trading and introduces the concept of market microstructure. Nowadays, a significant number of financial instruments are traded in

*- 1 year ago, 22 Aug 2017, 12:25pm -*

What Alternative Career Paths Exist For Quants? [Quant Start]

Recent graduates, postgraduates and those in early-career positions with a technical background are now faced with a wide choice of exciting and well-compensated career paths in a diverse set of industries. Quantitative finance remains an attractive option but the competition for top talent is

*- 1 year ago, 15 Aug 2017, 11:27pm -*

Derivatives Pricing III: Models driven by Lévy processes [Quant Start]

In this article series QuantStart returns to the discussion of pricing derivative securities, a topic which was covered a few years ago on the site through an introduction to stochastic calculus. Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to

*- 1 year ago, 10 Aug 2017, 10:14am -*

Derivatives Pricing II: Volatility Is Rough [Quant Start]

In this new article series QuantStart returns to the discussion of pricing derivative securities, a topic which was covered a few years ago on the site through an introduction to stochastic calculus. Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor

*- 1 year ago, 27 Jul 2017, 07:25am -*

Backtesting Systematic Trading Strategies in Python: Considerations and Open Source Frameworks [Quant Start]

In this article Frank Smietana, one of QuantStart's expert guest contributors describes the Python open-source backtesting software landscape, and provides advice on which backtesting framework is suitable for your own project needs. Backtesting is arguably the most critical part of the

*- 1 year ago, 18 Jul 2017, 10:46am -*

Should You Buy or Rent a GPU-Based Deep Learning Machine for Quant Trading Research? [Quant Start]

We've recently been considering the field of deep learning as a modelling methodology for forming new quantitative trading models. Such models have been shown to be 'unreasonably effective' in the fields of computer vision, natural language processing and games of strategy. This

*- 1 year ago, 26 Jun 2017, 11:06am -*

Rough Path Theory and Signatures Applied To Quantitative Finance - Part 4 [Quant Start]

This is the fourth in a new advanced series of posts written by Imanol Pérez, a PhD researcher in Mathematics at Oxford University and an expert guest contributor to QuantStart. In this post Imanol applies the Theory of Rough Paths to the task of predicting which country a company belongs to based

*- 1 year ago, 22 Jun 2017, 12:19pm -*

Matrix Algebra - Linear Algebra for Deep Learning (Part 2) [Quant Start]

Last week I posted an article, which formed the first part in a series on Linear Algebra For Deep Learning. The response to the article was extremely positive, both in terms of feedback, article views and also more broadly on social media. Many of you commented that there was "an appetite"

*- 1 year ago, 22 Jun 2017, 12:19pm -*

Scalars, Vectors, Matrices and Tensors - Linear Algebra for Deep Learning (Part 1) [Quant Start]

Back in March we ran a content survey and found that many of you were interested in a refresher course for the key mathematical topics needed to understand deep learning and quant finance in general. Since deep learning is going to be a big part of this year's content we thought it would be

*- 1 year ago, 15 Jun 2017, 09:56am -*

Rough Path Theory and Signatures Applied To Quantitative Finance - Part 3 [Quant Start]

This is the third in a new advanced series of posts written by Imanol Pérez, a PhD researcher in Mathematics at Oxford University and an expert guest contributor to QuantStart. In this post Imanol applies the Theory of Rough Paths to the task of handwritten digit classification—a common task for

*- 1 year ago, 7 Jun 2017, 11:42am -*

What are the Different Types of Quant Funds? [Quant Start]

This is the third in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank examines the different algorithmic trading strategies carried out by quantitative hedge funds. Click for parts one and two. - Mike. Institutional asset managers

*- 1 year ago, 31 May 2017, 06:30pm -*

Rough Path Theory and Signatures Applied To Quantitative Finance - Part 2 [Quant Start]

his is the second in a new advanced series of posts written by Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and a new expert guest contributor to QuantStart. In this post Imanol continues the theoretical discussion of Rough Paths and Signatures and begins applying them within

*- 1 year ago, 22 May 2017, 03:57am -*

Setting up an Algorithmic Trading Business [Quant Start]

This is the second in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank takes a look at the different ways in which an algorithmic trading business can be established—and why you might want to consider it. - Mike. Setting up an

*- 1 year ago, 18 May 2017, 02:30am -*

Rough Path Theory and Signatures Applied To Quantitative Finance - Part 1 [Quant Start]

To date QuantStart has generally written on topics that are applicable to the beginner or intermediate quant practitioner. However we have recently begun to receive requests from academics and advanced practitioners asking for more content on research-level topics. This is the first in a new series

*- 1 year ago, 14 May 2017, 10:55am -*

What are the Career Paths in Systematic Trading? [Quant Start]

This is the first in an exciting series of posts written by Frank Smietana, a new expert guest contributor to QuantStart. In this insightful new article Frank looks at the different career roles that are available in the systematic trading space. - Mike. The changing role of humans in capital

*- 1 year ago, 2 May 2017, 10:18am -*

What is Deep Learning? [Quant Start]

Almost a year ago QuantStart discussed deep learning and introduced the Theano library via a logistic regression example. Given the recent results of the QuantStart 2017 Content Survey it was decided that an up to date beginner-friendly article was needed to introduce deep learning from first

*- 1 year ago, 8 Mar 2017, 01:15pm -*

Market Regime Detection using Hidden Markov Models in QSTrader [Quant Start]

In the previous article on Hidden Markov Models it was shown how their application to index returns data could be used as a mechanism for discovering latent "market regimes". The returns of the S&P500 were analysed using the R statistical programming environment. It was seen that

*- 2 years ago, 21 Feb 2017, 12:03pm -*

Annualised Rolling Sharpe Ratio in QSTrader [Quant Start]

In this article the issue of when to retire a trading strategy will be considered. It will present brief reasons why strategies eventually end up underperforming. It will discuss how this can be measured over time and then describe an implementation in QSTrader that provides this functionality. The

*- 2 years ago, 13 Feb 2017, 10:38am -*

Advanced Algorithmic Trading - Final Release [Quant Start]

The QuantStart team are very happy to announce that the full version of Advanced Algorithmic Trading has now been released. This brings the total number of pages to 517. To access the full version customers simply need to follow the download link received in the original pre-order purchase email. If

*- 2 years ago, 2 Feb 2017, 09:56am -*

Sentiment Analysis Trading Strategy via Sentdex Data in QSTrader [Quant Start]

In addition to the "usual" tricks of statistical arbitrage, trend-following and fundamental analysis, many quant shops (and retail quants!) engage in natural language processing (NLP) techniques to build systematic strategies. Such techniques fall under the banner of Sentiment Analysis. In

*- 2 years ago, 22 Jan 2017, 11:26pm -*

Aluminum Smelting Cointegration Strategy in QSTrader [Quant Start]

In previous articles the concept of cointegration was considered. It was shown how cointegrated pairs of equities or ETFs could lead to profitable mean-reverting trading opportunities. Two specific tests were outlined–the Cointegrated Augmented Dickey-Fuller (CADF) test and the Johansen

*- 2 years ago, 12 Jan 2017, 08:04am -*

K-Means Clustering of Daily OHLC Bar Data [Quant Start]

In this article the concept of unsupervised clustering will be considered. In quantitative finance finding groups of similar assets, or regimes in asset price series is extremely useful. It can aid in the development of filters, or entry and exit rules. This helps improve profitability for certain

*- 2 years ago, 5 Dec 2016, 09:38am -*

Bootstrap Aggregation, Random Forests and Boosted Trees [Quant Start]

In a previous article the decision tree (DT) was introduced as a supervised learning method. In the article it was mentioned that the real power of DTs lies in their ability to perform extremely well as predictors when utilised in a statistical ensemble. In this article it will be shown how

*- 2 years ago, 28 Nov 2016, 08:30am -*

Singapore November 2016 Trip Report [Quant Start]

A couple of weeks ago I flew out to Singapore to give a talk at the Quantopian Singapore QuantCon. The event was absolutely fantastic with an incredibly diverse and interesting set of talks. I gave a talk was on the topic of Hunting For Alpha In Alternative Data. Here is a brief summary of the trip,

*- 2 years ago, 24 Nov 2016, 11:57am -*

Strategic and Equal Weighted ETF Portfolios in QSTrader [Quant Start]

In a previous article the monthly rebalance feature of the open-source backtesting library QSTrader was demonstrated on a simplistic equities/bonds ETF mix portfolio. In this article new streamlined code will be presented to allow straightforward modification of the portfolio weightings. In

*- 2 years ago, 25 Oct 2016, 08:29am -*

Monthly Rebalancing of ETFs with Fixed Initial Weights in QSTrader [Quant Start]

Many institutional global asset managers are constrained by the need to invest in long-only strategies with zero or minimal leverage. This means that their strategies are often highly correlated to "the market" (usually the S&P500 index). While it is difficult to minimise this

*- 2 years ago, 17 Oct 2016, 06:30am -*

QuantStart New York City October 2016 Trip Report [Quant Start]

Last Tuesday I flew out to New York City, USA to give a talk at the Quantopian NYC Meetup and moderate a panel on "Programming Wars" at the Trading Show New York 2016. Both events were extremely interesting and I met a lot of great people. I want to write a brief summary of the trip as it

*- 2 years ago, 11 Oct 2016, 02:31pm -*

Hidden Markov Models for Regime Detection using R [Quant Start]

In the previous article in the series Hidden Markov Models were introduced. They were discussed in the context of the broader class of Markov Models. They were motivated by the need for quantitative traders to have the ability to detect market regimes in order to adjust how their quant strategies

*- 2 years ago, 3 Oct 2016, 02:07pm -*

QuantStart Events in October and November 2016 [Quant Start]

This is a short post to let QuantStart readers know that I'll be speaking at some events in New York and Singapore over the next couple of months: Wednesday, October 5th 2016, NYC - I'll be talking about "The Quest for Profitability", along with Seong Lee who will be talking

*- 2 years ago, 28 Sep 2016, 12:26pm -*

Kalman Filter-Based Pairs Trading Strategy In QSTrader [Quant Start]

Previously on QuantStart we have considered the mathematical underpinnings of State Space Models and Kalman Filters, as well as the application of the pykalman library to a pair of ETFs to dynamically adjust a hedge ratio as a basis for a mean reverting trading strategy. In this article we will

*- 2 years ago, 26 Sep 2016, 02:08am -*

The Future of Quant Finance Careers [Quant Start]

The world of quantitative finance continues to evolve at a rapid pace. Even in the last four years of the existence of this site the market for quant jobs has shifted significantly. In this article we outline these shifts. The advice on what is likely to be in demand in the next few years will be

*- 2 years ago, 19 Sep 2016, 02:26am -*

Hidden Markov Models - An Introduction [Quant Start]

A consistent challenge for quantitative traders is the frequent behaviour modification of financial markets, often abruptly, due to changing periods of government policy, regulatory environment and other macroeconomic effects. Such periods are known colloquially as "market regimes" and

*- 2 years ago, 12 Sep 2016, 02:28am -*

How to Learn Advanced Mathematics Without Heading to University - Part 3 [Quant Start]

In the first and second articles in the series we looked at the courses that are taken in the first half of a four-year undergraduate mathematics degree - and how to learn these modules on your own. In the first year we discussed the basics - Linear Algebra, Ordinary Differential Equations, Real

*- 2 years ago, 5 Sep 2016, 04:46am -*

Dynamic Hedge Ratio Between ETF Pairs Using the Kalman Filter [Quant Start]

A common quant trading technique involves taking two assets that form a cointegrating relationship and utilising a mean-reverting approach to construct a trading strategy. This can be carried out by performing a linear regression between the two assets (such as a pair of ETFs) and using this to

*- 2 years ago, 30 Aug 2016, 04:07am -*

Beginner's Guide to Decision Trees for Supervised Machine Learning [Quant Start]

In this article we are going to consider a stastical machine learning method known as a Decision Tree. Decision Trees (DTs) are a supervised learning technique that predict values of responses by learning decision rules derived from features. They can be used in both a regression and a

*- 2 years ago, 22 Aug 2016, 04:40am -*

Should You Build Your Own Backtester? [Quant Start]

This post relates to a talk I gave in April at QuantCon 2016 in New York City. QuantCon was hosted by Quantopian and I was invited to talk about some of the topics discussed on QuantStart. I decided to talk about whether it is worth building your own backtesting system. This post goes into more

*- 2 years ago, 15 Aug 2016, 01:23am -*

Maximum Likelihood Estimation for Linear Regression [Quant Start]

The purpose of this article series is to introduce a very familiar technique, Linear Regression, in a more rigourous mathematical setting under a probabilistic, supervised learning interpretation. This will allow us to understand the probability framework that will subsequently be used for more

*- 2 years ago, 8 Aug 2016, 03:19am -*

Mailbag: How Do You Move From Quant Developer To Quant Trader? [Quant Start]

I was emailed recently with a career-related question about jumping from one quant role to another. The question posed was "How can I make the jump from being a quant/software developer to a quant trader/researcher in a fund or investment bank?". This is certainly possible and does happen

*- 2 years ago, 2 Aug 2016, 07:09am -*

Beginner's Guide to Unsupervised Learning [Quant Start]

The majority of machine learning posts to date on QuantStart have all been about supervised learning. In this post we are going to take a look at unsupervised learning, which is a far more challenging area of machine learning. Supervised learning involves taking a number of data observations, each

*- 2 years ago, 28 Jul 2016, 04:39am -*

Mailbag: Can You Get A Job In HFT Without A Degree? [Quant Start]

I was emailed yesterday with an interesting career question about working in High Frequency Trading (HFT). The question posed was "Is it possible to get a HFT-related job in a big company without a formal degree?". The short answer is that yes, it is possible. The longer answer is that it

*- 2 years ago, 12 Jul 2016, 12:13pm -*

Advanced Algorithmic Trading and QSTrader - Second Update [Quant Start]

This is a quick update post to let readers know that the pre-order release of Advanced Algorithmic Trading has had a new update, adding over 50 pages of material. This brings the current release up to 250 pages. To access the new content, customers simply need to follow the download link received in

*- 2 years ago, 6 Jul 2016, 05:06am -*

Johansen Test for Cointegrating Time Series Analysis in R [Quant Start]

In the previous article on the Cointegrated Augmented Dickey Fuller (CADF) test we noted that one of the biggest drawbacks of the test was that it was only capable of being applied to two separate time series. However, we can clearly imagine a set of three or more financial assets that might share

*- 2 years ago, 20 Jun 2016, 10:44am -*

Cointegrated Augmented Dickey Fuller Test for Pairs Trading Evaluation in R [Quant Start]

In the previous article on cointegration in R we simulated two non-stationary time series that formed a cointegrated pair under a specific linear combination. We made use of the statistical Augmented Dickey-Fuller, Phillips-Perron and Phillips-Ouliaris tests for the presence of unit roots and

*- 2 years ago, 14 Jun 2016, 03:59am -*