Category Archives: Quant Books

Quant Books

live tick data and risk modeling book questions

I got some details questions for live tick data

More questions from email newsletter subscribers:

Best Book on Risk Models?

I got answer messed up. Sorry. I would recommend if you got the time read:

https://www.amazon.com/Management-Financial-Institutions-Wiley-Finance/dp/1118955943/ref=la_B001IGOKWO_1_6?s=books&ie=UTF8&qid=1518641477&sr=1-6

https://www.amazon.ca/Paul-Wilmott-Quantitative-Finance-Set/dp/0470018704

best but fast place to learn:

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

Would appreciate your guidance

I wanted to reach out to you to ask you for some advice & guidance. I am not a programmer, but I am trying to create a solution that will allow me to work with live tick data (Forex mainly) (to create live dashboards, currency strength, momentum etc) and historical data to conduct further analysis. 

I was thinking to feed this data into a database (I saw in your video that you are doing something similar). I wanted to get your advice as to the method of getting live tick data (something that does not cost a fortune would be ideal 🙂 ) ..  

I spoke to a freelancer who said that Jfoex api is only a java library and it would not allow me to work with live tick data.

I’ve also had a look at a few tools to connect to dukascopy to export historical tick data, its just the ‘live tick-data’ part that I am unsure about.

Any advice would be much appreciated.

My answer was:

If you just want market data use IQFeed forex option for $30/month. Do understand as part of their terms of service, you cannot redistribute this outside of your own use. If you need it for trading, always use the broker’s data to keep in synch. Also, you will need a live Dukascopy account for the live tick data but again only for your purposes. Hope this helps

More resource links here:

Get the Dukascopy video courses here

Videos

 

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=forex&web=IQFeed&symbolguide=guide&displayaction=support&section=guide&type=TENFORE

http://www.iqfeed.net/index.cfm?displayaction=data&section=fees

https://github.com/giuse88/duka

https://www.dukascopy.com/client/javadoc/com/dukascopy/api/IHistory.html#getLastTick(com.dukascopy.api.instrument.IFinancialInstrument)

Videos

64 bit version Dukascopy Forex tips with Bitcoin crypto addition

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Long-term return forecasts 2018 via industry reports

Long-term return forecasts 2018 via industry reports

This article was posted yesterday

Long-term return forecasts 2018

 

 

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Award – Best Quant Paper 2017

 

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 20,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

 

To view the full awards announcement, across 15 categories, visit the Savvy Investor Awards page.

WINNER: AQR Capital Management

Embracing Downside Risk

Equity index option pricing is examined in detail in this paper. The authors conclude that most of the empirical equity risk premium relates to compensation for taking on downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio’s Returns by Axioma

A ‘real world’ portfolio is used to illustrate how fundamental managers can use quantitative tools to identify and lessen potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO

Standard asset allocation model mechanics, including the utility based, Kelly, Markowitz, fixed allocation, and risk parity approaches, are described and contrasted in this PIMCO article.

 

Managing equity portfolio volatility by harnessing the volatility risk premium by Eaton Vance

Option-based strategies that attempt to harness the Volatility Risk Premium comprise a new type of solution that investors are currently exploring in order to achieve equity-like returns with less risk.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps by QMA

Active small-cap managers continue to outperform. QMA posits that capturing alpha in small caps is largely the result of inefficiencies that create pronounced mispricings that diligent managers can exploit on a regular basis.

 

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

 

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Intro to this free Python Data Science Handbook

Here is a popular data science book found on my Facebook feed. It was quite free with the ability to learn all the necessary packages to get you started in learning data science. Just for your info, Python is now the most popular programming language to learn and implement machine learning with. This means it is an excellent choice to advance your career! This book does cover an old machine learning package called Scikit-learn but it still popular for learning purposes.

 

As usual I made a video on this

 

As promised, I have made some great leeway on this automated forex trading strategy over the last 24 hours. If you want to get a preview on the visualization part, you can check out the first draft video here.

 

As I hope to test this strategy within Dukascopy JForex in coming weeks, I am obviously hoping this works with great success. If so expect my Quant Analyticsand Quant Elite prices to shoot up in coming weeks as I will now have extra credibility to do just that..

 

Join my Quant Analytics membership here

Join my ultra cheap Quant ELITE membership here.

 

Thanks for reading

Bryan

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Intro to free Python Data Science Handbook

Intro to free Python Data Science Handbook

Did I say this is free? It sounds like one of the standard ways to learn machine learning

https://jakevdp.github.io/PythonDataScienceHandbook/

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Books and talks on Ehtereum and blockchain technology

Books and talks on Ehtereum and blockchain technology

This is what is coming out of this very helpful Telegram chat group

I haven’t read any books on blockchain, but Andreas Antonopoulos is a rather engaging speaker on the topic of Bitcoin specifically; there are quite a few videos of him on YouTube (I think he also has a book on Bitcoin as well).

If you’re interested in learning the basics of Ethereum, the cofounder Vitalik Buterin gave a talk at TechCrunch Disrupt a few weeks ago called ‘Decentralising Everything’. He’s an incredibly smart young man.

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Famous President had $300,000 in overdue library books

Famous President had $300,000 in overdue library books

Toward the end of the 18th century George Washington borrowed a few books from his local New York library.

Time went by and I guess he never got around to returning the volumes he checked out.

Well, fast forward a bit.

Turns out, a bunch of newspapers have done stories on the fact that these books were never returned and in today’s money he would’ve owed $300,000.

I don’t know about you but that is a hefty sum to pay for educating yourself, but George Washington probably would’ve paid the full amount back. With interest.

Why?

Because it seems like he never stopped trying to better himself and he never stopped trying to gain an advantage in whatever field he was trying to tackle.

It could’ve been the time he spent as a military man…could’ve been the time he spent as our first commander-in-chief here in America.

It could’ve been when he was bettering himself trying to run his whiskey distillery ( of which I’ve heard he actually made money on.)

The point is his education never stopped, and his search for perfection in different areas never waned.

And neither should yours.

That’s why, In the spirit of chasing education and chasing trading the I have posted a few samples on my new Shopify store.

And I wanted you to be among the first people to see its contents.

And reap the rewards of fast action.

Here’s the deal…

Your investment to view this is only $1 and while that’s not unbelievably expensive it’s enough to keep the tire kickers away…

But I’m betting you might be different from the rest of the pack.

You might be someone who wants the latest strategies tips secrets and methods to turn one dollar of trading into some sort of return. .

And if I’m right you’ll want to join my Quant Analytics but I’m sweetening the deal for you today.

I will be only letting you see my video playbacks of my weekly LIVE calls starting in a week or so. This is ripped from the front lines…straight from the trenches of what’s working now…

It will show you how to get people to see trading opportunities weeks ahead of the pack. That means these opportunities become lucrative as the dumb money figure out weekls later. .

But times are wasting so don’t delay.

Here’s your special link to join.

Thanks and I’ ll see you on the inside

Again here on some of those daily trading reports I do which were from late last week.

 

 

Jul 13 market report
Jul 13 market report
$1.00
View
Jul 14 market report
Jul 14 market report
$1.00
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Source code for Rob Carver hot automated trader

Source code for Rob Carver hot automated trader

Here is the latest coding project rom Rob Carver. Someone in my Meetup group tonite said his portfolio has not performed too well in the last few weeks

https://github.com/robcarver17/pysystemtrade

Systematic Trading by Robert Carver

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Adaptive Markets book: Financial Evolution at the Speed of Thought

Adaptive Markets book: Financial Evolution at the Speed of Thought

Very important book to understand the fundamentals on how the markets flow

Thanks to Sholom B for sending

https://www.amazon.com/dp/0691135142/ref=rdr_ext_sb_ti_hist_2

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!