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Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, such as that on Medium. Those for the book are mostly originally written for the RATS time-series analysis system, which is commercial software, so I have begun porting the code to Python Notebooks written for Goog
Efficient reliable UDP unicast, UDP multicast, and IPC message transport
Portfolio Optimization
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor model in this project.
Direct solver for symmetric positive-definite sparse matrices designed for mathematical optimization. It implements supernodal Cholesky decomposition algorithm, and has GPU support.
Rank-1 update and downdate of Cholesky factorization
Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed by Marcos Lopez de Prado in Advances in Financial Machine Learning
A fast multi-producer, multi-consumer lock-free concurrent queue for C++11
Ultra fast and low latency C++ Logging library with flexible configuration and high throughput in multithreaded environment
WQU Capstone Project
Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"
Materials for a short course on convex optimization.
Portfolio optimization and simulation in Python
A Python-embedded modeling language for convex optimization problems.
This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NETWORKS"
Unfinished projects and snippets
ExaNIC drivers, utilities and development libraries
Firedancer is Jump Crypto's Solana consensus node implementation.
fmtlog is a performant fmtlib-style logging library with latency in nanoseconds.
Compute hierarchical clustering using OpenAPI and visualize them in a static webpage
This is the code repository for 7FNCE025W High Frequency Trading.
Research Repo (Archive)
Hummingbot is open source software that helps you build trading bots that run on any exchange or blockchain
Parallel implementation of Cholesky Decomposition using CUDA APIs
A python client library for the different APIs offered by Interactive Broker including the Trade Workstation API, Client Portal Web API, and Client Portal Streaming Web API.
L1 regularized Least Squares minimization problem solver.
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.