Algorithmic Trading Resources

Potentially, you’ll only need the first two series of videos to understand and build an algorithmic trading bot.  However, additional resources in the form of videos, books, pdf documents, and more have been added and are continuously being updated.

 

Topics in Mathematics with Applications in Finance

 

Python Programming for Finance

 

Books

Algorithmic Trading: Winning Strategies and Their Rationale by Ernest Chan

Quantitative Trading – How To Build Your Own Algorithmic Trading Business by Ernest Chan

Python for Finance: Mastering Data-Driven Finance by Yves Hilpisch

Python for Finance by Yves Hilpisch

Derivatives Analytics with Python by Yves Hilpisch

Algorithmic Trading: A Rough and Ready Guide by QuantInsti (has a lot of great reference books listed)

Python Basics Handbook by Quantinsti

 

 

Algorithmic Thinking, Peak Finding

 

Statistics including Probability

Quartiles, Quintiles, Deciles, Percentiles

 

Calculus I & II (Derivatives)

 

Calculus III

 

 

MatLab/R

 

Time Series Analysis

 

Trading Strategies

https://www.academia.edu/8003677/Ernie_Chan_-_Algorithmic_Trading

https://www.academia.edu/28488586/Quantitative_Trading._Ernest_P_Chan

 

Momentum

 

Mean reversion

 

Market making

 

Statistical Arbitrage

 

Sentiment Analysis

 

Money Management

https://en.wikipedia.org/wiki/Kelly_criterion

 

Psychology of Trading

https://www.youtube.com/watch?v=MGglyvc8d58

 

Monte Carlo Simulations (vs historical data)

 

How Tos

https://blog.quantinsti.com/learn-algorithmic-trading/#steps

https://www.oreilly.com/content/algorithmic-trading-in-less-than-100-lines-of-python-code/

 

 

Terms

Bollinger Bands

Estimator

Gaussian Distribution

Linear Interpolation

Mean

Median

Standard Deviation

Stochastic Reversal

 

Notables

Ernest Chan

Larry Connors

Cesar Alvarez

 

 

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