https://github.com/quantconnect/research
Open sourced research notebooks by the QuantConnect team.
https://github.com/quantconnect/research
Last synced: 11 months ago
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Open sourced research notebooks by the QuantConnect team.
- Host: GitHub
- URL: https://github.com/quantconnect/research
- Owner: QuantConnect
- License: apache-2.0
- Created: 2017-10-16T18:23:52.000Z (over 8 years ago)
- Default Branch: master
- Last Pushed: 2024-05-17T18:31:57.000Z (almost 2 years ago)
- Last Synced: 2025-04-04T01:09:52.706Z (11 months ago)
- Language: Jupyter Notebook
- Homepage: https://www.quantconnect.com
- Size: 5.82 MB
- Stars: 579
- Watchers: 33
- Forks: 178
- Open Issues: 9
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Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
This repository is a collection of research notebooks and tutorials using the QuantConnect LEAN platform. Research covers a range of topics from tutorial focused demonstrations to topical analysis of modern movements in the financial markets.
### Topical Events
- May 7, 2020 - [S&P500 Hope vs Fear CV2019](https://github.com/QuantConnect/Research/blob/master/Topical/20200507_hopevfear_research.ipynb)
- June 4, 2020 - [Airline Bailout & Buybacks Research](https://github.com/QuantConnect/Research/blob/master/Topical/20200601_airlinebuybacks_research.ipynb)
### Idea Streams PodCast
- May 28, 2020 Episode 5 - [Tail Risk Hedging](https://www.youtube.com/watch?v=dA7VaQvpCGg&t=1s)
- May 22, 2020 Episode 4 - [Nowcasting News Announcements of Vaccine Trials](https://www.youtube.com/watch?v=ZmatDMCvKTE&t=686s)
- May 10, 2020 Episode 3 - [Correlation Analysis Major CV19 Economies](https://www.youtube.com/watch?v=wflTPzl9YF4)
- April 28, 2020 Episode 2 - [Unemployment Claims with SKLean](https://www.youtube.com/watch?v=VCf9e0S4rDg)
- April 20th, 2020 Episode 1 - [Traunch Rebalancing](https://www.youtube.com/watch?v=q1VjM1nHPfE)
### Research 2 Production Notebook Series
- [Mean Reversion](https://github.com/QuantConnect/Research/blob/master/Research2Production/01%20Mean%20Reversion.ipynb)
- [Random Forest Regression](https://github.com/QuantConnect/Research/blob/master/Research2Production/02%20Random%20Forest%20Regression.ipynb)
- [Uncorrelated Assets](https://github.com/QuantConnect/Research/blob/master/Research2Production/03%20Uncorrelated%20Assets.ipynb)
- [Kalman Filters and Pairs Trading](https://github.com/QuantConnect/Research/blob/master/Research2Production/04%20Kalman%20Filters%20and%20Pairs%20Trading.ipynb)
- [Stationary Processes and Z-Scores](https://github.com/QuantConnect/Research/blob/master/Research2Production/05%20Stationary%20Processes%20and%20Z-Scores.ipynb)
- [Principal Component Analysis](https://github.com/QuantConnect/Research/blob/master/Research2Production/06%20Principal%20Component%20Analysis.ipynb)
- [Hidden Markov Models](https://github.com/QuantConnect/Research/blob/master/Research2Production/07%20Hidden%20Markov%20Models.ipynb)
- [Long Short-Term Memory](https://github.com/QuantConnect/Research/blob/master/Research2Production/08%20Long%20Short-Term%20Memory.ipynb)
### Analysis Examples
- [Fudamental Factor Analysis](https://github.com/QuantConnect/Research/blob/master/Analysis/01%20Fudamental%20Factor%20Analysis.ipynb): This research applies MorningStar fundamental data to demonstrate how to select the effective factors for long/short strategies.
- [Kalman Filter Based Pairs Trading](https://github.com/QuantConnect/Research/blob/master/Analysis/02%20Kalman%20Filter%20Based%20Pairs%20Trading.ipynb): This research demonstrates the basic principle of pairs trading and introduces the concepts of cointegration and Kalman Filter for pairs trading.
- [Mean-Variance Portfolio Optimization](https://github.com/QuantConnect/Research/blob/master/Analysis/03%20Mean-Variance%20Portfolio%20Optimization%20.ipynb): This research demonstrates the mean-variance approach to asset allocation in modern portfolio theory and shows how to find the efficient frontier.
- [EMA Cross Strategy Based on VXX](https://github.com/QuantConnect/Research/blob/master/Analysis/04%20EMA%20Cross%20Strategy%20Based%20on%20VXX.ipynb): This research demonstrates how to build a simple EMA cross strategy with Python and how to get the performance statistics of the strategy.
- [Pairs Trading Strategy Based on Cointegration](https://github.com/QuantConnect/Research/blob/master/Analysis/05%20Pairs%20Trading%20Strategy%20Based%20on%20Cointegration.ipynb): This research goes through the development process step-by-step of a pairs trading strategy and shows how to backtest the strategy.