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adventures-in-financial-data-science

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

aeron

Efficient reliable UDP unicast, UDP multicast, and IPC message transport

almgren-chriss-optimal-execution

alpha-research-and-multi-factor-model

Portfolio Optimization

alphatrading

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.

awesome-high-frequency-trading

baspacho

Direct solver for symmetric positive-definite sparse matrices designed for mathematical optimization. It implements supernodal Cholesky decomposition algorithm, and has GPU support.

cholesky-update

Rank-1 update and downdate of Cholesky factorization

combining_alpha_signals

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

concurrentqueue

A fast multi-producer, multi-consumer lock-free concurrent queue for C++11

cpplogging

Ultra fast and low latency C++ Logging library with flexible configuration and high throughput in multithreaded environment

crypto_correlation

WQU Capstone Project

custom-factor-model

Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"

cvx_short_course

Materials for a short course on convex optimization.

cvxportfolio

Portfolio optimization and simulation in Python

cvxpy

A Python-embedded modeling language for convex optimization problems.

deep-robust-statistical-arbitrage

This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NETWORKS"

dl_cookbook

dump

Unfinished projects and snippets

electronicmarkets

exanic-software

ExaNIC drivers, utilities and development libraries

firedancer

Firedancer is Jump Crypto's Solana consensus node implementation.

fmtlog

fmtlog is a performant fmtlib-style logging library with latency in nanoseconds.

hagy_comment_category_hierarchy

Compute hierarchical clustering using OpenAPI and visualize them in a static webpage

hft_23

This is the code repository for 7FNCE025W High Frequency Trading.

hudson-and-thames-research

Research Repo (Archive)

hummingbot

Hummingbot is open source software that helps you build trading bots that run on any exchange or blockchain

implementation-of-cholesky-decomposition-in-gpu-using-cuda

Parallel implementation of Cholesky Decomposition using CUDA APIs

interactive-broker-python-api

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-ls.py

L1 regularized Least Squares minimization problem solver.