Additional algorithmic trading links

A collection of random links and notes that are not a good fit for other learning categories.

Miscellaneous

• Using tqdm progress bars in notebooks.

• Forecasting prices.

• Adding custom DataFrames to Backtrader.

• Tracking multiple data feeds with Backtrader.

• Multiple data feeds with Backtrader - tutorial.

• Classifying Uniswap scams and rug pulls with machine learning.

• Detecting scams on Uniswap.

• Backtesting Uniswap v3 strategies

• The 7 Reasons Most Machine Learning Funds Fail

• The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation

• Hurst Exponent to Identify Trading Strategies

• Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions

• On Uniswap listing bots

• Blockchain SaaS node provider latency comparison

• Awesome On-Chain Investigations HandBook

• Uniswap v3 liquidity provider strategies

• Uniswap V3 TWAP: Assessing TWAP Market Risk and the related portal

• Liquidity Provider Strategies for Uniswap v3: Dynamic Hedging

• In-Sample vs. Out-Of-Sample Analysis of Trading Strategies

• Awesome Conformal Prediction for time series

• Portfolio Optimization in Python With Datalore and AI Assistant

Risk, portfolio construction, optimization, and factor essentials

Risk and Portfolio Construction

“Advanced Portfolio Management” (Paleologo) https://buff.ly/3Jn0hcj “Active Portfolio Management” (Grinold & Kahn) https://buff.ly/3Z3ooUr “Advances in Active Portfolio Management” (G&K) https://buff.ly/3VrgIeP “Quantitative Equity Portfolio Management” https://buff.ly/3r6vYkC “Quantitative Portfolio Management” https://buff.ly/44wamvO “Portfolio Risk Analysis” (Connor & Goldberg) https://buff.ly/3yDK5RW “Equity Portfolio Management” (Fabozzi) https://buff.ly/3qWKBHd “Modern Invesment Management” (Litterman/GSAM) https://buff.ly/3PqZF9K

Factor Models & Related

“Modeling Equities Returns: The Linear Case” (Zhang, HRT) https://buff.ly/4e9t1DB “Factor Models of Asset Returns” (Connor) https://buff.ly/3V5g852 “The Econometrics of Financial Markets” (Campbell & Lo) https://buff.ly/3Vfa4XM “Multi-factor Models & Signal Processing Techniques” https://buff.ly/3RdeQUh “Elements of Quantitative Investing” (Paleologo) https://buff.ly/4566DqM “Asset Management: Systematic Factor Investing” (Ang) https://buff.ly/4e7Hr7h “Finding Alphas” (Tulchinsky) https://buff.ly/4bG4c0H “Practioner’s Guide to Factor Models” (CFA, 1994) https://buff.ly/4bIxR9r “The Remarkable Multidimensionality in Stock Returns” https://buff.ly/3yLNJJA

Optimization

“Dispelling Myths in Mean-Variance Optimization” https://buff.ly/4aKIs2j “Portfolio Optimization Cookbook” (Mosek) https://buff.ly/3Va7uC4 “Multi-Period Trading via Complex Optimization” (Boyd) https://buff.ly/4aGJf4k “Optimal Turnover” (Baldacci, more t cost emphasis) https://buff.ly/3V5bZhf

Broader list of mathematical finance references: https://buff.ly/3tH37Vb