Computational Investing
Table of Contents
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Suggested Readings
- Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk by Richard Grinold and Ronald Kahn
- All About Hedge Funds : The Easy Way to Get Started by Robert Jaeger
- Applied Quantitative Methods for Trading and Investment (The Wiley Finance Series) (Hardcover) by Christian L. Dunis (Editor), Jason Laws (Editor), Patrick Naïm
Resources1
Python Tools in the Class
- Libraries
- Numpy http://www.numpy.org/
- Scipy http://www.scipy.org/
- scikit-learn http://scikit-learn.org/stable/
- Matplotlib http://matplotlib.org/
- Pandas
- Pandas Python Data Analysis Library
- Possibly useful Python libraries.
- PyProcessing a processing-like environment for doing graphics with Python.
- mayavi for visualization of 3D stuff. Claims to be integrated with SciPy.
- pybrain.org Machine Learning library from Technische Universität München. See a video.
- pandas A library for time series analysis. video.
Finance
- Financial Magazines
- Financial Blogs/Sites
- Financial Books
- "Market Wizards" series, by Jack D. Schwager:http://jackschwager.com/ http://www.amazon.com/Jack-D.-Schwager/e/B000AR7ZM4/ref=sr_tc_2_0?qid=1385127392&sr=1-2-ent
- Fortune's Formula
- Reminiscences of a Stock Operator
- Historical Data
- grainmarketresearch.com: 1 minute data on US stocks & ETFs. Not survivor bias free.
- Norgate: End of day data. Survivor bias free, but only updates once/day. Daily live feed.
- Yahoo! Finance
- EODData
- Quantopian
- Excel addin to pull FRED data directly to spreadsheets
Install QSToolKit on Unbuntu
#wget --no-check-certificate http://pypi.python.org/packages/source/Q/QSTK/QSTK-0.2.6.tar.gz #Read error at byte 231669/28754611 (Connection reset by peer). git clone git@github.com:shishougang/QuantSoftwareToolkit.git cd QuantSoftwareToolkit sudo sh UbuntuInstallation.sh sudo python setup.py install cd Examples python Validation.py