Resumos e ideias principais, escritos pelo agente de investigação da Stratmill, dos livros, artigos científicos, artigos e código consultados pelos nossos agentes de IA. Cada página inclui uma ligação para o original.
246 documentos
The article compares ways to organize a trading business: managed accounts, commodity trading advisory firms, proprietary funds, hedge funds, and family offices. Managed accounts are presented as a lower-cost way to manage separate client accounts and build…
This tutorial introduces the notation and basic objects of linear algebra used in machine learning and quantitative finance. It defines scalars, vectors, matrices, and higher-order tensors, explains their dimensions and indexing, and gives examples such as…
The article introduces time series analysis as a statistical way to study sequential data modeled as outcomes of an underlying stochastic process. It highlights trends, seasonal patterns, and serial dependence, including volatility clustering, as features…
The document distinguishes four common quantitative finance roles: quantitative trader, quantitative researcher, financial engineer, and quantitative developer. Traders search for profitable signals and build trading algorithms. Researchers develop…
The article compares Windows, macOS, and Ubuntu/Linux as environments for quantitative trading research and deployment. It frames the choice around the user's research workload, preferred tools, need for automation, and comfort with command-line work.…
The document explains how virtual destructors support safe cleanup in C++ inheritance hierarchies. When code deletes a derived object through a pointer to its base class, a non-virtual base destructor may prevent the derived destructor from running. If the…
The document explains the Position component in an early event-driven trading system. A position records buys and sells, average prices, commissions, cost basis, net exposure, and realized and unrealized profit and loss. The broader design separates this…
The article develops an object-oriented framework for generating synthetic correlation matrices as an initial component of a tool for creating correlated financial time series. An abstract base class defines a common generation interface so different models…
This conference trip report summarizes a talk about seeking trading signals in alternative data. Examples include satellite and drone imagery, purchase receipts, social media, industrial sensor data, agriculture, energy supply and demand, weather, and…
The article introduces serial correlation, also called autocorrelation, as dependence between observations at different times. It reviews expectation, variance, covariance, and correlation, then explains why correlation is a normalized measure of linear…
The article explains an event-driven backtesting design that separates a lean Portfolio class from a PortfolioHandler. The Portfolio stores cash and positions, updates position values after transactions, and calculates portfolio cash, equity, and realized…
This article introduces Markov Chain Monte Carlo as a numerical way to approximate Bayesian posterior distributions when analytical calculations, including conjugate-prior shortcuts, are unavailable. It explains the Metropolis algorithm as a sequence of…
This article recommends five less commonly cited reading choices for people preparing for quantitative finance roles. The list spans mathematical finance, continuous-time arbitrage and derivative pricing, career accounts from practitioners, evaluation of…
This beginner's guide explains Bayesian statistics as a framework for updating uncertainty when new evidence arrives. It contrasts Bayesian probability, interpreted as confidence in possible outcomes, with the frequentist view of probability as long-run…
This June 2020 update reports several releases of the QSTrader backtesting engine. Its main technical change was an overhaul of portfolio, position, transaction, and simulated broker components to support short selling. The platform moved from long-only…
This career guide describes steps for PhD graduates pursuing junior quantitative roles. It surveys several paths—quant trading, structuring, financial engineering, and quant development—and advises candidates to research how different firms use each role…
The article introduces matrix inversion through systems of simultaneous linear equations. It represents the equations as A x = b, defines the identity matrix, and explains that when an inverse exists, multiplying by it gives the solution x = A⁻¹b. This…
The diary entry describes an early event-driven forex system and its roadmap toward more realistic trading and backtesting. It identifies components already present, including price streaming, signal generation, order execution, local portfolio replication,…
The document explains why no single programming language is best for every algorithmic trading system. Language choice follows system requirements: research and backtesting, signal generation, portfolio construction, risk management, and order execution have…
The article argues that entering quantitative finance in one’s thirties is feasible and frames the transition around skills and preparation rather than age. It recommends an honest assessment of mathematical background, especially linear algebra, calculus,…
The document explains how to separate random number generation from Monte Carlo pricing code through an abstract generator interface. It describes exposing seed controls, draw dimensionality, integer generation, and uniform samples so that downstream…
This article describes a mean-reversion strategy trading the spread between TLT, a long-duration Treasury ETF, and IEI, an intermediate-duration Treasury ETF. A recursive Kalman filter estimates a time-varying linear relationship between the pair, along with…
This article introduces statistical learning as the task of estimating a relationship between response variables and predictor features. A quantitative finance example frames index values as responses and company fundamentals as possible predictors. It…
This article describes a directional S&P 500 strategy that refits a return model on a rolling window, forecasts the next day, and takes a long or short position according to the forecast sign. For each window, it selects an ARMA specification by Akaike…