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THE OPEN QUANT LIVE BOOK INITIATIVE

Are you tired of the lack of transparency and reproducibility in Wall Street? Are you frustrated by the highly-complex no-hands-on approaches from the traditional outdated Quant references?

Be the change you wish to see in Wall Street and contribute to the Open Quant Live Book Initiative!

The book aims to be an Open Source gentle introduction of the most important aspects of financial data analysis, algo trading, portfolio selection, econophysics and machine learning in finance with an emphasis in reproducibility and openness not to be found in most other typical Wall Street references.

The Book is open and we welcome co-authors and collaborators, so visit our Github project and contribute! The Book is licensed under Attribution-NonCommercial-ShareAlike 4.0 International.

Publication Date: December, 2019.


Table of Contents


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Part I: Free Data for Markets

Chapter 1 I/O
Chapter 2 Stylized Facts
Chapter 3 Correlation & Causation

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Part II: Algo Trading

Chapter 4 Investment Process
Chapter 5 Backtesting
Chapter 6 Factor Investing
Chapter 7 Limit Order

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Part III: Portfolio Optimization

Chapter 8 Modern Portfolio Theory
Chapter 9 Measuring Risk
Chapter 10 Linear Programming

Part IV: Machine Learning

Chapter 11 Intro Chapter 12 Agent-Based Models
Chapter 13 Binary Classifiers
Chapter 14 AutoML
Chapter 15 Hierarchical Risk Parity

Part V: Econophysics

Chapter 16 Entropy, Efficiency and Nonlinear Coupling
Chapter 17 Transfer Entropy, Information Transfer and Causality
Chapter 18 Financial Networks

Part VI: Alternative Data

Chapter 19 The Market, The Players and The Rules
Chapter 20 Case Studies

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The Book is open, so visit our Github project and contribute! The Book is licensed under Attribution-NonCommercial-ShareAlike 4.0 International.