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https://github.com/joelowj/awesome-algorithmic-trading

A curated list of awesome algorithmic trading frameworks, libraries, software and resources
https://github.com/joelowj/awesome-algorithmic-trading

List: awesome-algorithmic-trading

algorithmic-trading-strategies factor-model machine-learning pairs-trading quantitative-analysis quantitative-finance quantitative-trading trading trading-strategies

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A curated list of awesome algorithmic trading frameworks, libraries, software and resources

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README 

        
## awesome-algorithmic-trading



A curated list of awesome algorithmic trading tutorials, projects and communities.



## Table of Contents



1. Stock Prices

2. Market Mechanics

3. Data Processing

4. Stock Returns

5. Momentum Trading

6. Quant Workflow

7. Outliers & Filtering

8. Regression

9. Time Series Modeling

10. Volatility

11. Pairs Trading & Mean Reversion

12. Breakout Strategy

13. Stock, Indices & Funds

14. ETFs

15. Portfolio Risk & Returns

16. Portfolio Optimization

17. Smart Beta & Portfolio Optimization

18. Factors

19. Factor Models & Factor Types

20. Risk Factor Models - Time Series & Cross Sectional

21. Risk Factor Models with PCA

22. Alpha Factors

23. Alpha Factor Research Methods

24. Advanced Portfolio Optimization

25. Multi-factor Model



## Tutorials

- [Algorithmic Trading Strategies](https://www.experfy.com/training/courses/algorithmic-trading-strategies)



- [Artificial Intelligence for Trading](https://www.udacity.com/course/ai-for-trading--nd880)



- [Computational Investing, Part I](https://www.coursera.org/learn/computational-investing)



- [Financial Engineering and Risk Management Part I](https://www.coursera.org/learn/financial-engineering-1/)



- [Financial Engineering and Risk Management Part II](https://www.coursera.org/learn/financial-engineering-2/)



- [MIT Open Courseware - Analytics of Finance](https://ocw.mit.edu/courses/sloan-school-of-management/15-450-analytics-of-finance-fall-2010/)



- [MIT Open Courseware - Investments](https://ocw.mit.edu/courses/sloan-school-of-management/15-433-investments-spring-2003/)



- [MIT Open Courseware - Topics in Mathematics with Applications in Finance](https://ocw.mit.edu/courses/mathematics/18-s096-topics-in-mathematics-with-applications-in-finance-fall-2013/)



- [Machine Learning and Reinforcement Learning in Finance Specialization](https://www.coursera.org/specializations/machine-learning-reinforcement-finance)



- [Machin Learning for Trading](https://www.udacity.com/course/machine-learning-for-trading--ud501)



- [Model a Quantitative Trading Strategy in R](https://www.datacamp.com/courses/model-a-quantitative-trading-strategy-in-r/)



- [Trading Strategies in Emerging Markets Specialization](https://www.coursera.org/specializations/trading-strategy)



- [Time Series with R](https://www.datacamp.com/tracks/time-series-with-r)



- [Quantitative  Analyst with R](https://www.datacamp.com/tracks/quantitative-analyst-with-r)



## Projects



## Articles



- [10 Things to Know About Every Cash Flow Statement](https://investinganswers.com/education/financial-statement-analysis/10-things-know-about-every-cash-flow-statement-1023)



- [The 15 Stock Diversification Myth](http://www.efficientfrontier.com/ef/900/15st.htm)



- [The Limitations of Ratio Analysis](https://www.accountingtools.com/articles/what-are-the-limitations-of-ratio-analysis.html)



- [The Right Way and the Wrong Way to Benchmark a Diversified Portfolio](https://blog.wealthfront.com/benchmark-diversified-portfolio/)



- [Performance Measurement: The What, Why, and How of the Investment Management Process](https://blogs.cfainstitute.org/investor/2012/06/01/performance-measurement-and-attribution-the-what-why-and-how-of-the-investment-management-process/)



- [Utility Theory and Attitude toward Risk (Explained With Diagram)](http://www.economicsdiscussion.net/articles/utility-theory-and-attitude-toward-risk-explained-with-diagram/1384)



- [The Guide to Diversification](https://www.fidelity.com/viewpoints/investing-ideas/guide-to-diversification)



- [Diversification: How much is too much?](https://www.livemint.com/Money/dvv39OemfWlZ2zPB9RGobL/Diversification-How-much-is-too-much.html)



- [Successful Backtesting of Algorithmic Trading Strategies - Part I](https://www.quantstart.com/articles/Successful-Backtesting-of-Algorithmic-Trading-Strategies-Part-I)



- [Successful Backtesting of Algorithmic Trading Strategies - Part II](https://www.quantstart.com/articles/Successful-Backtesting-of-Algorithmic-Trading-Strategies-Part-II)



## Research Papers



- [Are Markets Efficient?](http://review.chicagobooth.edu/economics/2016/video/are-markets-efficient)



- [Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers](https://www.chicagobooth.edu/~/media/FE874EE65F624AAEBD0166B1974FD74D.pdf)



- [Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?](http://econ.au.dk/fileadmin/Economics_Business/Education/Summer_University_2012/6308_Advanced_Financial_Accounting/Advanced_Financial_Accounting/2/Sloan_1996_TAR.pdf)



- [Betting Against Beta](http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf)



- [Momentum](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=299107)



- [Separating Winners from Losers Among Low Book-to-Market Stocks Using Financial Statement Analysis](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=403180)



- [The 101 Ways to Measure Portfolio Performance](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1326076)



- [Does the Composition of the Market Portfolio Really Matter?](https://faculty.mccombs.utexas.edu/keith.brown/Research/JPM-12.87.pdf)



- [Pairs Trading: Performance of a Relative Value Arbitrage Rule](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=141615)



## Books

- [Algorithmic Trading and DMA: An introduction to direct access trading strategies](https://www.amazon.com/gp/product/0956399207/ref=as_li_tf_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=0956399207&linkCode=as2&tag=quant0f-20)



- [Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)](https://www.amazon.com/Building-Winning-Algorithmic-Trading-Systems/dp/1118778987/ref=sr_1_1?s=books&ie=UTF8&qid=1538798383&sr=1-1&keywords=Building+Winning+Algorithmic+Trading+Systems%2C+%2B+Website%3A+A+Trader%27s+Journey+From+Data+Mining+to+Monte+Carlo+Simulation+to+Live+Trading+%28Wiley+Trading)



- [Finding Alphas: A Quantitative Approach to Building Trading Strategies](https://www.amazon.com/Finding-Alphas-Quantitative-Approach-Strategies/dp/1119057868/ref=sr_1_1?ie=UTF8&qid=1538798212&sr=8-1&keywords=finding+alpha)



- [Hands-On Machine Learning with Scikit-Learn and TensorFlow: Concepts, Tools, and Techniques to Build Intelligent Systems](https://www.amazon.com/Hands-Machine-Learning-Scikit-Learn-TensorFlow/dp/1491962291/ref=sr_1_1?ie=UTF8&qid=1538798436&sr=8-1&keywords=hands+on+machine+learning+with+scikit-learn+and+tensorflow)



- [Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading](https://www.amazon.com/Inside-Black-Box-Quantitative-Frequency-ebook/dp/B00BZ9WAVW)



- [Python for Finance: Analyze Big Financial Data](https://www.amazon.com/Python-Finance-Mastering-Data-Driven/dp/1492024333/ref=sr_1_4?ie=UTF8&qid=1538798406&sr=8-4&keywords=python+for+finance)



- [Technical Analysis Explained, Fifth Edition: The Successful Investor's Guide to Spotting Investment Trends and Turning Points](https://www.amazon.com/Technical-Analysis-Explained-Fifth-Successful-ebook/dp/B00H878Q2W)



- [Quantitative Investing: Strategies to exploit stock market anomalies for all investors](https://www.amazon.com/Quantitative-Investing-Strategies-anomalies-investors/dp/0857193007/ref=tmm_pap_swatch_0?_encoding=UTF8&qid=&sr=)



## Communities

- [Advanced Risk and Portfolio Management](https://www.arpm.co/)



- [Certificate in Quantitative Finance](https://www.cqf.com/)



- [The Python Quants Group](http://tpq.io/)



- [Quantor](https://quantor.co/)



- [Quantopian](https://www.quantopian.com/home)



- [QuantConnect](https://www.quantconnect.com/)



- [QuantNet](https://quantnet.com/courses/)



- [QuantStart](https://www.quantstart.com/)



## License



[![Creative Commons License](http://i.creativecommons.org/l/by/4.0/88x31.png)](https://creativecommons.org/licenses/by/4.0/)



This work is licensed under a [Creative Commons Attribution 4.0 International License](http://creativecommons.org/licenses/by/4.0/).