U LT I M AT E E D I T I O N

The full collection of quant trading resources to guide you along. Suitable
for beginners and professionals alike. Beginners may find the Essentials or
Comprehensive edition more appropriate as it is more distilled with a
stronger learning structure.

QUANT
ROADMAP
2024/2025

Author: Stat Arb

Twitter: quant_arb
U LT I M AT E E D I T I O N

完整的量化交易资源集合，为您提供指导。适合初学者和专业人士。初学者可能会
发现 Essentials 或 Comprehensive 版本更合适，因为它更精炼，具有更强大的学
习结构。

量化

路线图

2024/2025

作者： Stat Arb

推特： quant_arb
 Copyright © 2024 by Stat Arb.

All rights reserved. No part of this book may be reproduced or transmitted in any form or by any means,
electronic or mechanical, including photocopying, recording, or by any information storage and retrieval
system, without permission in writing from the copyright owner.
 版权所有 © 2024 Stat Arb。

保留所有权利。未经版权所有者书面许可，不得以任何形式或任何方式（电子或机械）复制或传播本书的任何部分，
包括影印、录制或通过任何信息存储和检索系统。
 About The Roadmap

Quantitative trading has a reputation for being very hard to break into, and frankly that is true.
Even for professionals, it can be hard to tell what resources are worthwhile.

Thus, the quant roadmap serves as a resource of resources, designed to highlight all the
worthwhile materials at your disposal. With all this content available, it can be hard to know
where to start. Thus, there are 3 versions of the roadmap this year:

1. Ultimate Edition [link] [backup link]

2. Comprehensive Edition [link] [backup link]
3. Essential Edition [link] [backup link]

The ways they differ focus on the trade-off between being all encompassing and avoiding
overwhelming the reader. If you want a pure directory of every worthwhile resource, the Ultimate
Edition is for you. We have done our best to organize the sections, but there is not much in the
way of guidance on how to learn it.

Comprehensive aims to strike a careful balance between presenting the most important
resources directly to the reader, covering a variety of material, and guiding readers on how to
learn it.

Finally, for those who feel they have no idea where to start – the Essentials Edition is here for
you. This focuses heavily on how to learn the material and being as efficient as possible with
the learning (covering core topics as opposed to fringe ones).

The level of noise will also increase going from essential to ultimate. Resources in essentials
are maximally orthogonal and skip the more niche topics. Ultimate covers everything and many
resources may have significant overlap. That’s a balance that’s hard to strike, but readers will
find that discovering what works best for their own learning process is a fulfilling experience.

iii
 关于 The Roadmap

量化交易以很难闯入而闻名，坦率地说，这是真的。
即使对于专业人士来说，也很难说哪些资源是值得的。

因此，量化路线图作为资源中的资源，旨在突出您可以使用的所有有价值的材料。有了所有这些内容，
可能很难知道从哪里开始。因此，今年的路线图有 3 个版本：

1. 终极版 [link] [备份链接]

2. 综合版 [link] [备份链接]
3. Essential Edition [链接] [备份链接]

它们的不同之处在于包罗万象和避免让读者不知所措之间的权衡。如果您想要一个包含所有有价值的资
源的纯粹目录，那么 Ultimate Edition 适合您。我们已经尽了最大努力来组织这些部分，但关于如何
学习它没有太多指导。
Comprehensive 旨在在直接向读者展示最重要的资源、涵盖各种材料和指导读者如何学习之间取得谨
慎的平衡。
最后，对于那些觉得自己不知道从哪里开始的人 - Essentials Edition 随时为您服务。这主要侧重于如
何学习材料和尽可能高效地学习（涵盖核心主题，而不是边缘主题）。
噪音水平也将从基本增加到终极。Essentials 中的资源最大程度上是正交的，并跳过了更利基的主题。
Ultimate 涵盖所有内容，许多资源可能有很大的重叠。这是一个很难达到的平衡，但读者会发现，发
现最适合他们自己的学习过程的方法是一种充实的体验。

iii
 QUANT ROADMAP

Comprehensive also includes coverage of pre-requisites, so does Ultimate. If you know

background topics (mathematics, computer science, etc.) then feel free to jump to Essentials
and work up. Otherwise, consider starting with Comprehensive.

This is no substitute for real work and implementation. The ultimate edition especially focuses
on cataloguing the available resources, but you cannot learn them by brute force reading them.
They can only truly show you what you don’t know you don’t know. For true learning you must
engage with the material through conversation, implementation, and modification of your own.

iv
 量化路线图

Comprehensive 还包括先决条件的覆盖范围，Ultimate 也是如此。如果您了解背景主题（数学、计

算机科学等），请随时跳转到 Essentials 并进行改进。否则，请考虑从 Comprehensive 开始。
这不能替代实际工作和实施。终极版特别注重对可用资源进行编目，但你不能通过蛮力阅读来学习它
们。他们只能真正向您展示您不知道、您不知道的东西。要实现真正的学习，您必须通过对话、实施和
修改自己的材料来参与材料。

iv
 About The Author

I work as a quantitative researcher in the digital assets space and have led teams across
HFT and MFT strategies. Both at my own hedge fund/ shop and at a larger one as head of
quantitative research. I’m no boomer with decades of experience, but I hope to say I’ve got
enough to be worth sharing with everyone.

Over the years I’ve used many usernames, the last edition of roadmap was under BBM and
referred to my old Twitter handle @TerribleQuant. I have since changed this because it hasn’t
done me well in any Twitter arguments funnily enough, but I can now be reached at @quant_arb
on Twitter & on Instagram (repost account).

I run www.algos.org which is my blog. It’s got tons of articles I’ve written which I think are a
great resource, some are free, others require subscription. Consider my blog the sponsor of
this edition of the guide. Here are some reader testimonials, I’ve removed names in case they
didn’t know they would be featured, and traders aren’t typically a fan of getting any personal
publicity:)

v
 关于作者

我在数字资产领域担任定量研究员，并领导过 HFT 和 MFT 策略的团队。无论是在我自己的对冲基金/

商店，还是在一家更大的量化研究主管。我不是拥有数十年经验的婴儿潮一代，但我希望说我已经拥有
足够多的东西值得与大家分享。
多年来，我使用过许多用户名，上一版路线图是在 BBM 下，并引用了我的旧 Twitter 用户名
@TerribleQuant。自那以后，我改变了这个，因为它在任何Twitter争论中都不够有趣地对我有所帮
助，但现在可以通过@quant_arb在Twitter和Instagram（转发账户）联系到我。
我经营 www.algos.org 这是我的博客。它有我写的大量文章，我认为这些文章是一个很好的资源，有
些是免费的，有些需要订阅。将我的博客视为本期指南的赞助商。以下是一些读者的推荐，我已经删除
了名字，以防他们不知道自己会被推荐，而且交易员通常不喜欢获得任何个人宣传：）

v
 CONTENTS

About The Roadmap. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii

About The Author . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v

Chapter 1: Machine Learning and Algorithmic Trading (Textbooks) . . . . . . . . . . . . . .1

Chapter 2: Derivatives, and Volatility Trading (Textbooks) . . . . . . . . . . . . . . . . . . .5
Chapter 3: YouTube Videos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7
Chapter 4: Courses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Chapter 5: Podcasts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Chapter 6: Trading Platforms & Brokerage Firms. . . . . . . . . . . . . . . . . . . . . . . . 13
Chapter 7: Neural Networks / ML / Hype . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Chapter 8: Key Mathematics Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Chapter 9: Optimization (Deterministic & Stochastic) . . . . . . . . . . . . . . . . . . . . . 20
Chapter 10: High Frequency Trading & Market Making . . . . . . . . . . . . . . . . . . . . . 23
Chapter 11: Additional Volatility/Derivatives Resources . . . . . . . . . . . . . . . . . . . . 29
Chapter 12: Coding Languages Review and Resources . . . . . . . . . . . . . . . . . . . . . 31
Chapter 13: Projects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Chapter 14: Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Chapter 15: GitHub Repositories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Chapter 16: Light Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Chapter 17: Careers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Chapter 18: Arbitrage Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Chapter 19: Market Making Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Chapter 20: Pairs Trading Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Chapter 21: Seasonality Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Chapter 22: Momentum Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Chapter 23: Blogs To Read . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Chapter 24: Twitter Accounts To Follow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Chapter 25: How To Learn This Material . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Chapter 26: Other Roadmaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Credits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
 内容

关于路线图 iii
关于作者 v

第 1 章：机器学习和算法交易（教科书） 1
第 2 章：衍生品和波动率交易（教科书) 5
第 3 章：YouTube 视频 7
第 4 章：课程 10
第 5 章：播客 12
第六章：交易平台和经纪公司 13
第 7 章：神经网络 / 机器学习 / 热点 15
第 8 章：关键数学概念 18
第9章：优化（确定性与随机性） 20
第十章：高频交易和做市 23
第 11 章：其他波动率/衍生品资源 29
第 12 章：编程语言回顾和资源 31
第 13 章：项目 34
第 14 章：数据 38
第 15 章：GitHub 存储库 42
第 16 章：轻松阅读 46
第 17 章：职业规划 48
第 18 章：套利指南 51
第 19 章：做市指南 53
第 20 章：配对交易指南 55
第 21 章：季节性指南 56
第 22 章：动量指南 57
第 23 章：要阅读的博客 58
第 24 章：要关注的 Twitter 帐户 59
第 25 章：如何学习这些材料 61
第 26 章：其他路线图 65

致谢 66
Chapter 1 Machine Learning and Algorithmic
Trading (Textbooks)

Anything highlighted in red is optional since it is more of a repeat with extras of the textbook in
black before it. Depends on how hard/ fast you want to learn! You should do the first textbooks
then decide whether to do the Machine Learning Section or the Derivatives section first, but you
can do them simultaneously. They have crossovers and I love both areas although I am more
partial to the former, however they are very much independent and do not require knowledge
from the other to learn. All textbooks point to Amazon links, but make sure to avoid libgen
because it has them all for free.

Disclaimer:

I am not responsible if you commit piracy and I do not recommend you do this because it is
wrong, but I hear that some people find it useful for checking if it isn’t rubbish before buying.
Also buying the actual book means you get an impressive bookshelf/ some think it is better to
read, but I enjoy both PDF and physical. PDF purchased through the author of course…

1) “Quantitative Trading 2nd edition”

1)a “
Algorithmic Trading”
1)b“
Machine Trading”
2) Trading and Exchanges - This can be skipped if you are not interested in microstructure,
but regardless is quite helpful to know as it can make sure you avoid some silly mistakes.

Note: Quick note on Ernest Chan Books. They aren’t very meaty but are an easy intro so feel
free to skim through them. Especially 1) a & b (in red) are very basic to the point where unless
you are 100% new to quant they should be skipped.

ML (1/3) Machine Learning for Algorithmic Trading

1
章
1 机器学习和算法交易（教科书）

任何以红色突出显示的内容都是可选的，因为它更像是重复，前面有黑色的教科书的额外内容。取决于
你想学的难/快程度！您应该先学习教科书，然后决定是先学习机器学习部分还是导数部分，但您可以同
时进行。他们有交叉点，我喜欢这两个领域，尽管我更偏爱前者，但是他们非常独立，不需要对方的知
识来学习。所有教科书都指向 Amazon 链接，但请确保避免使用 libgen，因为它都是免费的。

免責聲明：

如果您犯下盗版行为，我概不负责，我不建议您这样做，因为这是错误的，但我听说有些人发现它在购
买前检查它是否不是垃圾很有用。此外，购买实际的书意味着你会得到一个令人印象深刻的书架/有些人
认为它更好读，但我更喜欢 PDF 和实体书。PDF 当然是通过作者购买的......

1) 《量化交易 2 版》
1）a 《算法交易》
1）b《机器交易》

2) 交易和交易所 - 如果您对微观结构不感兴趣，可以跳过此内容，但无论如何了解都非常有帮助，
因为它可以确保您避免一些愚蠢的错误。

注：关于 Ernest Chan Books 的快速说明。它们不是很丰富，但很容易介绍，因此请随意浏览它们。特

别是1）a和b（红色的）非常基础到除非你是100%的量化新手，否则应该跳过它们。

用于算法交易的 ML （1/3） 机器学习

1
 QUANT ROADMAP

There is a lot of overlap between machine learning… and mastering python… so start with one
of them then read finding alphas then read the other. That is why they are noted as either the
1st or 3rd book to read in terms of machine learning.

ML (1/3) Mastering Python for Finance

Go do this all before doing finding alphas if you “audit” the course then it is free to do them all
individually.

https://www.coursera.org/specializations/investment-management-python-machine-learning

• Note: This is a 4-part course so there is certainly a lot to go through, but I think it is one
of the best resources because it uses legacy models to build intuition, but unlike most
courses then goes on to show you some actual methods that are used and work in the
industry. Another BIG benefit is that it uses Python in Jupyter notebook which in my
opinion is the best way to do research. Orange is good as well and an R kernel in Jupyter
is also a nice alternative (more on that later).

ML (2) Finding Alphas: A Quantitative Approach (2nd edition)

ML (4) Advanced Algorithmic Trading - I think all of the backtests shown are overfit to make
them look better, but it is a good idea to get familiar with approaches / ideas to improve your
own creative process.

ML (5) Advances in financial machine learning (The first few chapters are brilliant, middle
chapters are pretty good, and the last chapters are abhorrent. It goes from insanely good
to insanely bad. MLDP is truly the Nicolas Cage of quants. He either writes the worst paper
you have ever seen about the nichest nerd hole with no relevance to making money ever… or
he cooks up an amazing method that is quite useful. I don’t know what to say honestly, but
regardless of my views on his work the first few chapters are a MUST for all quants)

ML(6) The elements of statistical learning -general ML knowledge – Less math heavy version
(Introduction to Statistical Learning in R / Python)

ML(7) Regression Analysis with Python

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 量化路线图

机器学习之间有很多重叠......并掌握 Python...因此，从其中一个开始，然后阅读 Finding Alphas，然后

阅读另一个。这就是为什么它们在机器学习方面被称为 1 或 3 本书。

ML （1/3） 掌握 Python 金融

在寻找 alpha 之前先做这一切，如果您“旁听”了这门课程，那么可以免费单独完成所有这些操作。

https://www.coursera.org/specializations/investment-management-python-machine-learning

• 注意：这是一门由 4 部分组成的课程，所以肯定有很多东西要讲，但我认为它是最好的资源之
一，因为它使用遗留模型来建立直觉，但与大多数课程不同的是，它继续向您展示一些在行业中
使用和有效的实际方法。另一个很大的好处是它在 Jupyter 笔记本中使用 Python，在我看来这
是进行研究的最佳方式。Orange 也很好，Jupyter 中的 R 内核也是一个不错的选择（稍后会详
细介绍）。

ML （2） 寻找 Alpha：一种定量方法（第 2 版）

ML （4） 高级算法交易 - 我认为显示的所有回测都是过度拟合的，以使它们看起来更好，但熟悉方

法/想法以改进您自己的创作过程是个好主意。
机器学习 （5） 金融机器学习的进步 （前几章很精彩，中间几章还不错，最后几章很可恶。它从疯狂
的好到疯狂的坏。MLDP 确实是量化领域的 Nicolas Cage。他要么写了你见过的最糟糕的论文，关于
最漂亮的书洞，与赚钱无关......或者他想出了一个非常有用的神奇方法。老实说，我不知道该说什么，
但无论我对他的作品的看法如何，前几章都是所有量化专家的必读之作。
ML（6） 统计学习的要素 - 一般 ML 知识 – 数学较少的版本 （R / Python 统计学习入门）

ML（7） 使用 Python 进行回归分析

2
 MA C H I N E L E A R N I N G A N D A LG O R IT H M I C T R A D I N G (T E x T B O O K S )

ML(8) Regression Modelling Strategies

Regressions may appear as though they are the most boring and basic tool that no real quant
other than beginners would use, but in reality they are the opposite. It is mostly beginners who
use complex machine learning models, and the professionals who use the simplest of models.
This may be hard to understand but the core of it is answered by the data itself. The data
is noisy, high dimensional, and with the slightest nudge you can overfit to it. Every beginner
massively overestimates how much margin they have to fit to the data – you just don’t have
much. Hence, regressions are the favorite. Ridge, Median Regressions, and MAD personally.

Also, may be useful to go do the machine learning courses on Coursera, but of course it won’t
be finance focused just building a general understanding of what things are and how they
work.

Bonus Books:

- Elements of Quantitative Investing Draft (this is a book written by @__paleologo on

Twitter, and is in draft form but is incredibly good so well worth the read)
- Quantitative Portfolio Management
- Advanced Portfolio Management
- Trader Construction Kit
- Optimal Trading Strategies
- Advanced Futures Trading Strategies

4th Edition Extras:

Algorithmic Trading Methods – Goes through some models

Trades Quotes and Prices – Microstructure textbook

Machine Learning in Finance – More rigorous for ML in Finance

Data Driven Science and Engineering – Not specifically quant, but there is huge alpha from
engineering/ signal processing.

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 M A C H I N E L E A R N I N G A N D A LG O R IT H M I C T R A D I N G （T E x T B O O K S）

ML（8） 回归建模策略

回归可能看起来好像是最无聊和最基本的工具，除了初学者之外，没有真正的量化会使用，但实际上它
们恰恰相反。使用复杂机器学习模型的主要是初学者，而使用最简单的模型的是专业人士。这可能很难
理解，但其核心是由数据本身来回答的。数据是嘈杂的、高维的，只要稍加轻推，你就可以过度拟合
它。每个初学者都大大高估了他们必须适应数据的余量 - 你只是没有太多。因此，回归是最受欢迎
的。Ridge、中位数回归和 MAD 个人。
此外，在 Coursera 上学习机器学习课程可能很有用，但当然它不会只专注于财务，仅仅建立对事物是
什么以及它们如何运作的一般理解。

奖金书籍：

- 量化投资选秀的要素（这是 @__paleologo 在 Twitter 上写的一本书，虽然是草稿，但非常好，

非常值得一读）

- 量化投资组合管理
- 高级投资组合管理
- Trader 建筑套件
- 最佳交易策略
- 高级期货交易策略

4 版附加功能：

算法交易方法 – 通过一些模型

交易、报价和价格 – 微观结构教科书

金融领域的机器学习 – 金融领域的 ML 更加严格

数据驱动科学与工程 – 不是特别量化的，但工程/信号处理有巨大的 alpha。

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 QUANT ROADMAP

5th Edition Extras:

Analysis of Financial Time Series

Bayesian Data Analysis

Digital Signal Analysis: An Introduction (R. Anand) – Not specifically quant, but alike ‘Data
Driven Science and Engineering’ it presents a lot of opportunities to find interesting methods
that can be applied to quant.

Robert Carver Textbooks (These are an alternative to some of the initial textbooks):

Systematic Trading

Leveraged Trading

With the exception of the Robert Carver books which are solely there to replace the Ernest Chan
books at the discretion of the reader (or if they find one of them confusing), the textbooks are
ordered in terms of value for the extras. The first selection of bonus textbooks are the ones I
believe to be essential additions, and then from there they become more and more additional.

4
 量化路线图

5 版额外内容：

金融时间序列分析

贝叶斯数据分析

数字信号分析：简介 （R. Anand） – 不是专门量化的，而是类似于“数据驱动的科学与工程”，它

提供了很多机会来找到可以应用于量化的有趣方法。

罗伯特·卡佛教科书（这些是一些初始教科书的替代品）：

系统交易

杠杆交易

除了罗伯特·卡佛 （Robert Carver） 的书完全由读者自行决定取代 Ernest Chan 的书（或者如果他们

发现其中一本令人困惑）之外，教科书是根据额外内容的价值排序的。第一批额外的教科书是我认为必
不可少的补充，然后从那里它们变得越来越附加。

4
Chapter 2 Derivatives, and Volatility Trading
(Textbooks)

I never expected to be doing much options trading in my lifetime beyond running statistical
arbitrage strategies when I wrote the 4th edition over 2 years ago. Since then, I’ve worked on
building out an options market making operation, and I can certainly say that the knowledge
will eventually come in handy so at least the basics are worth learning regardless. If your
career is long enough you’ll interact with options enough to at least think about how they work.

Derivatives (1) Hull Options Futures and other Derivatives

Derivatives (1 Alternative) Option Trading &Volatility Trading (both textbooks by Euan Sinclair)

Derivatives (2) Positional Option Trading

Derivatives (3) Trading Volatility

Extra Derivatives:

Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits,
Second Edition

The Volatility Surface

The Volatility Smile

Currency Derivatives

Exotic Options and Hybrids – This is more for if you want a career on an exo desk

5
章
2 衍生品和波动率交易（教科书）

我从没想过在我的一生中会做很多期权交易，除了在 2 年前写 4 版时运行统计套利策略。从那时起，我

一直在努力建立一个期权做市业务，我可以肯定地说，这些知识最终会派上用场，所以至少无论如何，
基础知识都是值得学习的。如果你的职业生涯足够长，你会与足够多的选择互动，至少考虑一下它们是
如何运作的。

衍生品 （1） 赫尔期权期货和其他衍生品

衍生品（1种选择）期权交易和波动率交易（都是Euan Sinclair的教科书）

衍生品 （2） 头寸期权交易

衍生品 （3） 交易波动率

额外衍生品：

期权波动率和定价：高级交易策略和技术

交易期权希腊语：时间、波动性和其他定价因素如何推动利润，第二版

波动率表面

波动率的微笑

货币衍生品

异国情调的选项和混合动力车 – 如果您想在 exo 办公桌上从事职业，这更适合

5
 QUANT ROADMAP

Dynamic Hedging (NNT) – This is mainly for people pricing exotics, which is helpful for a
very popular starting position on an exo desk or doing options MM at a prop firm. I found
this useful when looking at options market making because it’s how you price complex
risks which you often get into when doing option market making.

Stochastic Volatility (Textbook)

BONUS CONTENT: Options Market Making

How does option market making work? Roughly speaking, you have a surface of all options
you quote, likely one per exchange, and then you modify it based on trade impacts, moves in
spot, and of course your own inventory to get a dynamic fit of it.

Your basic surface is just a fit of the market and then you will add skew based on your Greeks.
For more on how to fit the surface in an advanced way (not yet public in the academic literature)
here is a great article I wrote.

For an old, but still highly relevant textbook, I recommend checking out this:

Option Market Making

6
 量化路线图

动态对冲 （NNT） – 这主要针对为异国情调定价的人，这对于在 exo 柜台上非常受欢迎的起始位

置或在自营公司做期权 MM 很有帮助。我发现这在研究期权做市时很有用，因为这是您在进行期权
做市时经常遇到的复杂风险定价方式。

随机波动率（教科书）

额外内容：期权做市

期权做市如何运作？粗略地说，您有一个报价的所有期权的表面，每个交易所可能一个，然后您根据交
易影响、现货变动，当然还有您自己的库存对其进行修改，以获得动态拟合。
您的基本表面只是市场的契合度，然后您将根据希腊字母添加偏斜。有关如何以高级方式拟合表面的更
多信息（尚未在学术文献中公开），这是我写的一篇很棒的文章。

对于一本古老但仍然高度相关的教科书，我建议查看以下内容：

期权做市商

6
Chapter 3 YouTube Videos

Here are some great videos by Ben Felix. I can honestly recommend all of his videos but these
grasp at key point all traders need. Very asset pricing model/ EMH based and whilst I go for
EV (Expected Value) it is still important to know. In the podcasts section Vivek Viswanathan on
Flirting with Models gives a good explanation of how EV models can work with factor investing
and what is wrong/ right about factor models.

https://www.youtube.com/watch?v=jKWbW7Wgm0w https://www.youtube.com/
watch?v=foqswJT3Spc https://www.youtube.com/watch?v=yco0sC7AJ2U https://www.
youtube.com/watch?v=IzK5x3LlsUU

LEARN VOLATILITY

Patrick Boyle has some great books, but I also recommend his playlists. Especially the last 3
rows, which is a full education in derivatives, and he breaks down financial news in a meaningful
and educational way that is fun to watch, but without the narrative:

https://www.youtube.com/c/PatrickBoyleOnFinance/playlists

Leonardo Valencia (Some really great volatility videos, I recommend you watch them)

Tasty Trade (I like their Greek videos, but still prefer Patrick Boyle)

KeyPaganRush (Great visualizations for Charm and Vanna)

7
章
3 YouTube 视频

以下是 Ben Felix 的一些精彩视频。老实说，我可以推荐他的所有视频，但这些视频抓住了所有交易者

都需要的关键点。非常基于资产定价模型/EMH，虽然我选择 EV（预期价值），但了解它仍然很重要。
在播客部分，Vivek Viswanathan on Flirting with Models 很好地解释了 EV 模型如何与因子投资一起
工作，以及因子模型的错误/正确之处。

https://www.youtube.com/watch?v=jKWbW7Wgm0w https://www.youtube.com/ watch？

v=foqswJT3Spc https://www.youtube.com/watch?v=yco0sC7AJ2U
https://www.youtube.com/watch?v=IzK5x3LlsUU

了解波动性

帕特里克·博伊尔 （Patrick Boyle） 有一些很棒的书，但我也推荐他的播放列表。尤其是最后 3 行，这

是对衍生品的全面教育，他以一种有意义和教育性的方式分解了财经新闻，观看起来很有趣，但没有叙
述：

https://www.youtube.com/c/PatrickBoyleOnFinance/playlists

莱昂纳多·瓦伦西亚 （一些非常棒的波动性视频，我建议你看一下）

Tasty Trade （我喜欢他们的希腊视频，但仍然更喜欢 Patrick Boyle）

KeyPaganRush（Charm 和 Vanna 的出色可视化）

7
 QUANT ROADMAP

LEARN ALGOTRADING

Part time Larry:

Crypto Wizards:

Quantconnect YT channel more on them later

Quantra

Trade options with me (teaches Quantconnect)

Jacob Amaral (Nothing too remarkable, but a few decent trading algo vids)

Algo vibes: (great for people who are just starting)

Note: Algovibes is probably one of my top recommendations. He demonstrates how to

build a full system on many occasions and makes it as simple as possible plus also how to
research in Jupyter notebook.

LEARN SIGNAL PROCESSING

Mike x Cohen (Signal Processing applied to neuroscience, but still great)

Two great playlists by him (good alpha here)

https://youtube.com/playlist?list=PLn0OLiymPak2jxGCbWrcgmxUtt9Lbjj_A

https://youtube.com/playlist?list=PLn0OLiymPak2G__qvavn3T8k7R8ssKxVr

Abhishek Agrawal (signal processing stuff in python)

Esther Explains: (Some cool signal processing stuff)

8
 量化路线图

学习 ALGOTRADING

兼职 Larry：

加密向导：

Quantconnect YT 稍后会向他们提供更多信息

量子

与我交易期权（教授 Quantconnect）

Jacob Amaral （没什么特别的，但有一些不错的交易算法视频）

Algo vibes：（非常适合刚开始的人）

注意：Algovibes 可能是我最推荐的推荐之一。他在许多场合演示了如何构建完整的系统并使其尽
可能简单，以及如何在 Jupyter Notebook 中进行研究。

学习信号处理

Mike x Cohen（信号处理应用于神经科学，但仍然很棒）

他的两个很棒的播放列表（这里是很好的 alpha）

https://youtube.com/playlist?list=PLn0OLiymPak2jxGCbWrcgmxUtt9Lbjj_A

https://youtube.com/playlist?list=PLn0OLiymPak2G__qvavn3T8k7R8ssKxVr

Abhishek Agrawal（python 中的信号处理内容）

Esther 解释说：（一些很酷的信号处理东西）

8
 Y O UT U B E VI D E O S

LEARN QUANT TOPICS

1. AP Monitor (optimization, very niche/complex, but I like it)

2. Niche optimization channel (again I like it)
3. Quantpie
4. Niche and complex math channel lol
5. AI Quant (Extremely complex stuff, but it’s GOLD)
6. H&T (I will not be mean to them in this edition. They’re mostly interns and make similar
mistakes as all beginners to the practical side that I’ve seen – overcomplicating things
mostly, but the work is high quality)

LEARN DATA SCIENCE/GENERAL CODING

1. Neural Nine is more general Python, but has some good algotrading vids
2. Data Science Dojo (great data science stuff)
3. Ken Gee (general data science)
4. Coding Jesus
5. Finn Eggers ( java DL stuff)
6. Keith Galli (good python tutorial)
7. Gerard Taylor (specifically I recommend his ML in C++ course)
8. Data Professor (Just general data science):
9. Ahmad Bazzi

LEARN STATS/DS MATH

1. Luis Serrano: Good statistics videos

2. Complex math channel lol
3. More easy data science/ stat videos
4. Stat Quest (really engaging guy for complex stat topics broken down so anyone can get
it)

OTHERS

1. RCM Alternatives
2. Martin Shkreli
3. Mutiny (Listen to every single podcast they have; you won’t regret it)

9
 YO U T U B E V I D E O S

了解 QUANT 主题

1. AP Monitor（优化，非常小众/复杂，但我喜欢它）
2. 利基优化频道（再次我喜欢它）
3. 量子派
4. 利基和复杂的数学频道 lol
5. AI Quant （极其复杂的东西，但它是 GOLD）
6. H&T （我在这个版本中不会对他们刻薄。他们大多是实习生，犯的错误和我见过的所有实践方
面的初学者一样——大多数事情都过于复杂，但工作质量很高）

学习数据科学/通用编码

1. Neural Nine 是更通用的 Python，但也有一些不错的算法交易视频

2. Data Science Dojo（很棒的数据科学产品）
3. Ken Gee（通用数据科学）
4. 编码耶稣
5. Finn Eggers（java DL 内容）
6. Keith Galli（优秀的 python 教程）
7. Gerard Taylor（我特别推荐他的 C++ 中的 ML 课程）
8. 数据教授（仅一般数据科学）：
9. 艾哈迈德·巴齐

学习 STATS/DS 数学

1. Luis Serrano：很好的统计视频
2. 复杂的数学通道哈哈
3. 更多简单的数据科学/统计视频
4. Stat Quest （真正吸引人的家伙，分解复杂的统计主题，以便任何人都可以获得它）

别人

1. RCM 备择方案
2. 马丁·什克雷利
3. Mutiny （听他们拥有的每一个播客;你不会后悔的）

9
Chapter 4 Courses

On Coursera Robert Shiller has a course called Financial Markets. It is free without the certificate
$50 for the certificate. The videos are also on YouTube. This is an amazing start for finance
and the markets in general and will teach you the basics of everything in the markets. Coursera
link below:

https://www.coursera.org/learn/financial-markets-global

Medium to Higher level:

Andrew Ng has a course on Machine Learning and Deep Learning on Coursera. Those are
really good but quite math heavy.

For the math Imperial College London has a Mathematics for Machine Learning course series
and it has multivariate calculus, linear algebra and PCA. All of which will be super helpful.

There is also a Financial Engineering Part 1 & 2 course on Coursera as well.

This is also a great one for machine learning in python and has some really great strategies
included in there:

https://www.coursera.org/specializations/investment-management-python-machine-
learning#courses

https://www.coursera.org/projects/intro-time-series-analysis-in-r

This is a great project you can do in R. Amazing stuff 100% recommend. I really do stress that
this is a great resource.

10
章
4 课程

在 Coursera 上，罗伯特·席勒 （Robert Shiller） 有一门名为“金融市场”的课程。没有证书是免费

的，证书费用为 50 美元。这些视频也在 YouTube 上。这对金融和整个市场来说都是一个了不起的开
始，它将教您市场中一切的基础知识。Coursera 链接如下：

https://www.coursera.org/learn/financial-markets-global

中级至高级：

Andrew Ng 在 Coursera 上开设了一门关于机器学习和深度学习的课程。这些真的很好，但数学相当

繁重。
对于数学，伦敦帝国理工学院有一个机器学习数学系列课程，它有多元微积分、线性代数和 PCA。所
有这些都将非常有帮助。

Coursera上还有一门金融工程第一部分和第二部分课程。

这也是 python 中机器学习的一个很好的方法，其中包含一些非常棒的策略：

https://www.coursera.org/specializations/investment-management-python-
machinelearning#courses

https://www.coursera.org/projects/intro-time-series-analysis-in-r

这是一个很棒的项目，您可以在 R 中完成。100% 推荐令人惊叹的东西。我真的强调这是一个很棒的资

源。

10
 CO U R S E S

RobotJames & HangukQuant on Twitter both have courses that are currently out, as well as
Euan Sinclair but they’re all very expensive.

I plan on releasing a course on arbitrage and HFT in digital asset markets co-created with a
developer from the equities world in a few months so perhaps it will be out by then. Half of it at
least is coded up at the time of writing (it’s very heavy in the code provided as it aims to leave
you with the ability to immediately put everything into practice)

11
 COURSES

RobotJames和HangukQuant在Twitter上都有目前已经推出的课程，Euan Sinclair也是如此，但它们
都非常昂贵。
我计划在几个月内发布一门关于数字资产市场套利和 HFT 的课程，该课程是与股票界的开发人员共同
创建的，所以也许届时它会推出。其中至少有一半是在编写时编码的（它提供的代码非常繁重，因为它
旨在让您能够立即将所有内容付诸实践）

11
Chapter 5 Podcasts

(One of the best resources DO NOT TAKE LIGHTLY)

Most information especially the most useful is not in textbooks so you need to religiously
study podcasts. Think of textbooks as foundational but read them to understand what is talked
about on podcasts.

• Tick Talk (My Podcast)

• Flirting with models - Also, amazing and you NEED to listen to all the episodes (I have
listened to some episodes 6+ times.)
• Mutiny fund (YouTube channel shown)
• RCM Alternatives, the derivative
• Market Champions
章
5 播客

（最好的资源之一 DO NOT TAKE LIGHTLY）

大多数信息，尤其是最有用的信息，不在教科书中，因此您需要虔诚地学习播客。将教科书视为基础，
但阅读它们以了解播客上谈论的内容。

• Tick Talk （我的播客）

• 与模特调情 - 另外，太棒了，你需要听所有剧集（我已经听了 6+ 次某些剧集。

• Mutiny 基金（显示 YouTube 频道）

• RCM Alternatives，衍生产品
• 市场冠军
Chapter 6 Trading Platforms & Brokerage
Firms

For equities, and practically all other asset classes I recommend IBKR. I use them personally
and find that they have the best offering. They also offer incredibly cheap data along with their
brokerage services, and a somewhat limited PB service as you scale out.

TD Ameritrade is a great alternative, and equally as high quality as a retail brokerage offering.

If you are an institutional player in the equities space, then you will need a prime brokerage
service. All the major investment banks offer them, so think JMPC, MS, GS, etc. What do they
come with?

• The usual brokerage service

• Lower costs to trade
• Shorting capabilities (ability to get large borrows)
• Leverage
• Insurance against exchange counterparty (you face the prime broker not the exchange,
whether that’s good or bad is your own call, but big funds spread their cash around
different PBs to hedge this risk)
• Hedge fund services (many of them will do everything from raising capital to the legal
work of a hedge fund and all you do is lay back and make money – they take a hefty cut
for this service but some go for it)

In the digital assets realm, your broker is also the exchange – so things get a little bit more
nuanced. Most large shops will trade on many exchanges, your 3 largest being:

• Binance [link]
• Okx [link]
• Bybit [link]
章
6 交易平台和经纪公司

对于股票以及几乎所有其他资产类别，我推荐IBKR。我亲自使用它们，发现他们有最好的产品。他们还
提供非常便宜的数据以及经纪服务，并且在您扩展时提供一些有限的 PB 服务。

TD Ameritrade 是一个很好的选择，并且与零售经纪产品一样高质量。

如果您是股票领域的机构参与者，那么您将需要大宗经纪服务。所有主要的投资银行都提供它们，所以
想想 JMPC、MS、GS 等。他们有什么？

• 通常的经纪服务
• 降低交易成本
• Shorting capabilities （获得大额借款的能力）
• 杠杆作用
• 针对交易所交易对手的保险（您面对的是主经纪商而不是交易所，这是好是坏是您自己的决定，
但大型基金将现金分散在不同的 PB 上以对冲这种风险）

• 对冲基金服务（他们中的许多人会做从筹集资金到对冲基金的法律工作的所有工作，而你所做的
就是躺下来赚钱——他们为这项服务收取了一大笔佣金，但有些人会去争取）

在数字资产领域，您的经纪人也是交易所——因此事情变得更加微妙。大多数大型商店都会在许多交易
所进行交易，您最大的 3 个是：

• 币安 [link]
• Okx [链接]
• Bybit [链接]
 QUANT ROADMAP

These are all high quality. For crypto options, Deribit [link] is the largest, but for futures (the
largest market in crypto by volume), Okx, Bybit, and Binance are the largest. As I currently
write this, fiat on ramp/off ramp is not the easiest – so CDC, Kraken, and Coinbase are my
recommendations. US firms in general are not great in terms of flow but very easy to get fiat
into crypto through, and vice versa.

Prime brokers in the digital assets space offer a bit more of a limited service, but they include:

• HRP (Hidden Road Partners)

• Falconx
• Matrixport
• LTP
• Copper

I have contacts at all of these and can make introductions if you ask. US firms or even firms
with a slight US connection are barred from all of these in the current regulatory environment.
I hope this will have become an obsolete sentence by the next edition, but for now this is the
case.

HRP offers exchange insurance where you never actually give them money, they just loan you
it based on your balance sheet and then charge you interest + exchange collapse insurance
(which is incredibly underpriced btw).

They all differ by what fees they offer, as currently LTP is the biggest, but a year ago this was
completely different. Not all exchanges do fees by account, some do it by subaccount, so the
PB model doesn’t offer amazing exchange fees for every exchange anymore and is a leverage
provider after that now.

Speaking of leverage, if you want access to leverage, there are firms like Tesseract, Maple, &
Cicada which can provide capital for levering which is underwritten against a firms balance
sheet. Again, this is crypto specific.

For trading platforms that make it much easier to implement strategies, it’s worth having a look
at QuantConnect which is my favorite, but Nautilus trader also has a fair bit of progress. For
implementing simple strategies, you can’t go wrong with QuantConnect.

14
 量化路线图

这些都是高质量的。对于加密期权，Deribit [链接] 是最大的，但对于期货（按交易量计算的最大加密

市场），Okx、Bybit 和 Binance 是最大的。在我目前写这篇文章时，法币的 ramp/off ramp 并不是
最简单的——所以 CDC、Kraken 和 Coinbase 是我的建议。一般来说，美国公司在流量方面不是很
好，但很容易通过法定货币进入加密货币，反之亦然。
数字资产领域的 Prime 经纪商提供的服务更多一些，但它们包括：

• HRP （Hidden Road Partners）

• 猎鹰
• 矩阵端口
• LTP
• 铜

我在所有这些地方都有联系人，如果你问，我可以做介绍。在当前的监管环境中，美国公司甚至与美国
有轻微联系的公司都被禁止参加所有这些活动。我希望这句话在下一版时已经过时了，但现在情况就是
这样。
HRP 提供交换保险，你从来没有真正给他们钱，他们只是根据你的资产负债表借给你，然后向你收取
利息 + 交换崩溃保险（顺便说一句，这太低估了）。
它们提供的费用都有所不同，因为目前 LTP 是最大的，但一年前情况完全不同。并非所有交易所都按
账户收费，有些交易所按子账户收费，因此 PB 模型不再为每笔交易所提供惊人的交易费用，并且现在
是杠杆提供商。
说到杠杆，如果你想获得杠杆，有像Tesseract、Maple和Cicada这样的公司可以提供杠杆资本，这些
杠杆是针对公司资产负债表承保的。同样，这是特定于加密货币的。
对于可以更轻松地实施策略的交易平台，值得一看我最喜欢的 QuantConnect，但 Nautilus trader 也
取得了相当大的进步。对于实施简单的策略，QuantConnect 绝对不会出错。

14
Chapter 7 Neural Networks / ML / Hype

As many will know, neural networks and machine learning methods were a favorite of mine,
especially differential geometry based approaches. Beware of manifold learning alphas as
they are not some amazing solution to the markets as many will believe at first. This was my
original view when I had more time to toy around. Nowadays, I use bar charts, scatter plots,
and linear regressions. I recommend you don’t make my same mistakes and go too deep into
these topics.

My recommendations for what is worth learning are as follows:

- Regressions
- Non-Parametric Methods
- Trees
- GAMs

Neural networks are not a core area of the markets. They are not the best way to forecast price,
and have some niche applications to alternative data. I do not recommend becoming a neural
networks professional unless you already have this expertise because you will be put into a
niche. You are at the start of your career, it’s already a busy niche so I’d say it’s worth letting
yourself fall into a niche rather than forcing yourself into one.

A lot of the resources for neural networks in finance are obsolete. They teach LSTMs, same
with the papers in the literature. Tree models are known to be better for tabular data (which is
what we have in finance). Your main application is alternative data (NLP on pundits on CNBC
for example). CNNs are not cutting edge in this field anymore… although convolution is still
important. You may do well to play around with the many open-source models in search of this
alpha instead of building your own, but then again, this is a niche that may not be for everyone.
Certainly isn’t mine.

15
章
7 神经网络 / ML / 热点

正如许多人所知，神经网络和机器学习方法是我的最爱，尤其是基于微分几何的方法。当心多种学习
alpha，因为它们并不像许多人一开始认为的那样是市场的惊人解决方案。这是我有更多时间玩弄时的
最初观点。现在，我使用条形图、散点图和线性回归。我建议你不要犯同样的错误，也不要太深入地探
讨这些话题。

我对值得学习的内容的建议如下：

- 回归
- 非参数方法
- 树
- GAMs

神经网络并不是市场的核心领域。它们不是预测价格的最佳方式，并且对替代数据有一些利基应用。除
非您已经拥有这些专业知识，否则我不建议成为神经网络专业人士，因为您将被置于一个利基市场。你
正处于职业生涯的起步阶段，这已经是一个繁忙的利基市场，所以我想说让自己陷入一个利基市场是值
得的，而不是强迫自己进入一个利基市场。
金融领域神经网络的许多资源都已经过时了。他们教授 LSTM，与文献中的论文相同。众所周知，树模
型更适合表格数据（这就是我们在金融领域拥有的）。您的主要应用是另类数据（例如 CNBC 上专家
的 NLP）。CNN 在这个领域不再是最前沿的......尽管卷积仍然很重要。您可能最好使用许多开源模型
来寻找这个 alpha，而不是构建自己的 alpha，但话又说回来，这是一个可能并不适合所有人的利基市
场。当然不是我的。

15
 QUANT ROADMAP

Great NN guide (github book):

Week 1 · Deep Learning (atcold.github.io)

Hands-On Machine Learning with Scikit-Learn, Keras, and Tensorflow

Pattern Recognition and Machine Learning

Probabilistic Machine Learning

The Elements of Statistical Learning (referenced earlier, but this is a great textbook)

Andrew Ng Coursera Courses:

https://www.coursera.org/learn/neural-networks-deep-learning

https://www.coursera.org/professional-certificates/tensorflow-in-practice

https://www.coursera.org/specializations/generative-adversarial-networks-gans

https://www.coursera.org/specializations/tensorflow-advanced-techniques

https://www.coursera.org/specializations/natural-language-processing

Reinforcement Learning is a well talked about topic to learn and can be used for HFT in LOBs
where orders will significantly move the market because we are dealing with microstructure.
It is helpful for market making as well since MM is a control problem inherently, and RL is the
NN application to control problems. I don’t feel that RL is very well applied to topics like option
pricing where we already have solutions for them, it’s a way to overcomplicate the problem, but
I do know of firms that have used RL successfully to trade in HFT manners. Certainly, there is
a use to online parameter tuning, but not necessarily the neural network component.

ML/RL course coursera – The last two courses in the specialization are the best two.

16
 量化路线图

伟大的 NN 指南（github 书）：

第 1 周 ·深度学习 （atcold.github.io）

使用 Scikit-Learn、Keras 和 Tensorflow 进行动手机器学习

模式识别和机器学习

概率机器学习

统计学习的要素（前面提到过，但这是一本很棒的教科书）

Andrew Ng Coursera 课程：

https://www.coursera.org/learn/neural-networks-deep-learning

https://www.coursera.org/professional-certificates/tensorflow-in-practice

https://www.coursera.org/specializations/generative-adversarial-networks-gans

https://www.coursera.org/specializations/tensorflow-advanced-techniques

https://www.coursera.org/specializations/natural-language-processing

强化学习是一个广为人知的学习话题，可用于 LOB 中的 HFT，因为我们正在处理微观结构，订单将显

着影响市场。这对做市也很有帮助，因为 MM 本质上是一个控制问题，而 RL 是控制问题的 NN 应用程
序。我不认为 RL 很好地应用于期权定价等主题，我们已经有解决方案，这是一种使问题过度复杂的方
法，但我确实知道一些公司已经成功地使用 RL 以 HFT 方式进行交易。当然，在线参数调整也有用处，
但不一定是神经网络组件。

ML/RL 课程课程 – 专业的最后两门课程是最好的两门。

16
 NE U R A L N E T W O R K S / M L / HY P E

Applying Deep Reinforcement Learning to Trading (Lecture YT)

Implementing Deep Reinforcement Learning Papers in Python (Helpful for implementing MM

papers for RL/ whatever your chosen application is, freeCodeCamp is a great channel)

17
 N E U R A L N E T W O R K S / M L / HY P E

将深度强化学习应用于交易（讲座 YT）

在 Python 中实现深度强化学习论文 （有助于为 RL 实现 MM 论文/无论你选择什么应用程序，

freeCodeCamp 都是一个很好的频道）

17
Chapter 8 Key Mathematics Concepts

Whilst it is entirely possible to go through algorithmic trading topics whilst minimizing

mathematics exposure, there are key caveats that you will often miss without a deep
understanding of your models. I am not necessarily a believer that long equations provide
intuition at a high or mid-level, but at a low level (which is less intuition, more a deep
understanding) it is key.

For those determined to avoid mathematics, stick to YouTube video, papers with code examples,
and most of all Packt textbooks which do a brilliant job of explaining. I prefer this format where
you are free to explore the deep theory separately.

Measure Theory (Brings intuition to a lot of things):

Solutions to a great book for measure theory

Measure Theory

Measure Theory YT Playlist (I recommend any of the playlists on this YT channel, will cover
a lot)

General Mathematics Topics (Econometrics included as it is large/ appliable):

Econometrics (This is incredibly important)

MIT 6.042J Mathematics for Computer Science, Spring 2015

MIT: Topics in Mathematics with Applications in Finance

Coursera Mathematics for ML (In courses)

18
章
8 关键数学概念

虽然完全有可能在最大限度地减少数学接触的同时完成算法交易主题，但如果没有对模型的深入了解，
您通常会错过一些关键注意事项。我不一定相信长方程式在高层次或中层次上提供直觉，但在低层次
（较少的直觉，更多的是深刻的理解）它是关键。
对于那些决心避免数学的人，请坚持使用 YouTube 视频、带有代码示例的论文，以及最重要的 Packt
教科书，它们在解释方面做得非常出色。我更喜欢这种形式，你可以自由地单独探索深层理论。

测度理论（为很多事情带来直觉）：

一本关于测度论的好书的解决方案

测度理论

Measure Theory YT 播放列表 （我推荐这个 YT 频道上的任何播放列表，都会涵盖很多）

一般数学主题（包括计量经济学，因为它很大/适用）：

计量经济学（这非常重要）

MIT 6.042J 计算机科学数学，2015 年春季

MIT：数学主题与金融应用

Coursera Mathematics for ML（课程中）

18
 K E Y MAT H E M AT I C S C O N C E P T S

Stochastic Calculus (Masters/Advanced Undergrad topic for derivatives/MM/pairs):

Stochastic Calculus and Financial Applications (Most quants I speak to have read stochastic
calculus for finance instead, but having read this one fully, and skimmed the other, I prefer
this by a mile)

Stochastic Control for Finance (This is necessary for anyone who wants to go prop/ MM)

Stochastic Control Theory and High Frequency Trading (PPT by Knight Capital, this applied
more)

Probability Theory (Needed for everything, great intuition/ thinking framework):

MIT RES.6-012 Introduction to Probability, Spring 2018

MIT 6.041SC Probabilistic Systems Analysis and Applied Probability, Fall 2013

Probability Theory: The Logic of Science (The OG probability textbook)

FEA (Physics alpha):

MIT Linear Finite Element Analysis

MIT Nonlinear Finite Element Analysis

19
 K E Y M AT H E M AT I C S C O N C E P T S

随机微积分（硕士/高级本科生导数主题/MM/对）：

随机微积分和金融应用 （与我交谈的大多数量化分析师都阅读了金融随机微积分，但在完整阅读了
这个并略读了另一个之后，我更喜欢这个）

金融随机控制（这对于任何想要使用 prop/ MM 的人来说都是必需的）

随机控制理论和高频交易 （Knight Capital 的 PPT，这更适用）

概率论（一切都需要，很棒的直觉/思维框架）：

MIT RES.6-012 概率导论，2018 年春季

MIT 6.041SC 概率系统分析和应用概率，2013 年秋季

概率论：科学的逻辑 （OG 概率教科书）

FEA（物理 Alpha）：

MIT 线性有限元分析

MIT 非线性有限元分析

19
Chapter 9 Optimization (Deterministic &
Stochastic)

Why is optimization important? In my time I’ve used optimization models for:

• Estimating Implied Volatility [link]

• Estimating Implied Distributions [link]
• Automated Alpha Discovery [link] [link]
• Portfolio Optimization [Article I wrote that touches on this with some code]
• Pairs Trading Strategies [Chapter 20]
• Market Making [Chapter 19]
• Optimizing Strategy Parameters

When the gradient is not clear we can use genetic algorithms, however, these are noisy and
can get stuck. They also use a lot of compute resources. Alternatively, we can take a more
complex approach by estimating the gradient with an actor. This is an approach borrowed from
reinforcement learning. We can use this as our gradient and apply methods that require them.
I find that reinforcement learning works best in an HFT environment when you can only rely on
live trading (i.e. test in prod) to get any real results. Some firms are more practically minded
than others and prefer to optimize parameters, whereas others will tune them manually.

If you are calculating optimal portfolios the optimization can get quite complicated, and
same with some advanced pairs trading strategies so hence this is a field worth learning. At a
minimum, you should understand the simpler algorithms:

- Genetic Algorithms
- Basin Hopping
- Monte Carlo Optimization
- Convex Optimization Basics
- Linear Optimization Basics
- Simplex

20
章
9 优化（确定性和随机性）

为什么优化很重要？在我的时间里，我使用优化模型来：

• 估算隐含波动率 [链接]
• 估计隐含分布 [链接]
• 自动 Alpha 发现 [link] [link]
• 投资组合优化 [我写的文章用一些代码谈到了这一点]
• 配对交易策略 [第 20 章]
• 做市 [第 19 章]
• 优化策略参数

当梯度不清楚时，我们可以使用遗传算法，但是，这些算法很嘈杂并且可能会卡住。它们还使用大量计
算资源。或者，我们可以采用更复杂的方法，使用 actor 估计梯度。这是从强化学习中借来的一种方
法。我们可以将其用作渐变并应用需要它们的方法。我发现强化学习在 HFT 环境中效果最好，因为您
只能依靠实时交易（即在生产中测试）来获得任何实际结果。一些公司比其他公司更注重实践，更喜欢
优化参数，而另一些公司则会手动调整它们。
如果您正在计算最佳投资组合，优化可能会变得相当复杂，并且与一些高级货币对交易策略相同，因此
这是一个值得学习的领域。至少，您应该了解更简单的算法：

- 遗传算法
- 盆地跳跃
- Monte Carlo 优化
- 凸优化基础知识
- 线性优化基础知识
- 单纯形

20
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

- Newton Raphson

If we know the gradient however, we can use most optimization algorithms on this. Optimization
problems may have constraints such as budgets this is something that is key to understand
when engineering this into your optimization algorithms.

Monte Carlo methods are very often encountered in my own work so I recommend learning
these, but ensure that you don’t overcomplicate the problem. Getting to a minimal effective
solution in as little work as possible is the final goal at the end of the day.

Linear Algebra and Optimization for Machine Learning: A Textbook

Algorithms for Optimization

Convex Optimization Algorithms

Variable Ordering Structures in Vector Optimization

Numerical Optimization

Hands-on genetic algorithms with Python

Accelerated Optimization for Machine Learning First-Order Algorithms

First-Order and Stochastic Optimization Methods for Machine Learning

Note: Convex Optimization & Optimization In General

When I first got into quantitative finance, we didn’t have any LLMs obviously, but nowadays you
can ask ChatGPT, Claude, or whatever LLM is best by the time you are reading this to produce
a solution in Python to your optimization problem.

For that reason, there is a less of an importance on understanding some of these methods, but
not all of them. For certain tasks, you will have a hard time getting LLMs (in their current state

21
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

- 牛顿·拉夫森

但是，如果我们知道梯度，我们就可以对此使用大多数优化算法。优化问题可能有预算等限制，这是在
将其设计到优化算法中时理解的关键。
在我自己的工作中经常会遇到蒙特卡洛方法，因此我建议学习这些方法，但请确保不要使问题过于复
杂。在尽可能少的工作中得到一个最小、有效的解决方案是一天的最终目标。

机器学习的线性代数和优化：教科书

优化算法

凸优化算法

向量优化中的变量排序结构

数值优化

使用 Python 的动手遗传算法

机器学习一阶算法的加速优化

机器学习的一阶和随机优化方法

注意：凸优化和一般优化

当我第一次进入量化金融学时，我们显然没有任何LLMs，但现在你可以在阅读本文时询问 ChatGPT、
Claude 或任何LLM最好的方法，以在 Python 中为您的优化问题提供解决方案。
因此，了解其中一些方法（但不是全部）不太重要。对于某些任务，您将很难获得LLMs（在当前状态
下

21
 QUANT ROADMAP

08/07/2024 -- DD/MM/YYYY) to create convex relaxations for problems although they aren’t
too bad if you use the state of the art LLMs to try and get a linear solution to the problem.

When it comes to optimization for options pricing, I have an article about it but I recommend
using libraries for this (py_volllib or black_scholes in Rust).

Genetic algorithms, there is no chance you will be able to get ChatGPT to make for you in
their current state so you actually need to learn this one. I know plenty of people who have
implemented automated alpha discovery successfully.

None of this is to say that it is useless, but please do reflect on what you expect LLMs to make
obsolete, or at least be aware of the fact that LLMs are useful to solve many of these problems
nowadays assuming they are quite simple.

22
 量化路线图

对于某些任务 08/07/2024 -- DD/MM/YYYY） 为问题创建凸松弛，尽管如果您使用最先进的技术

LLMs来尝试获得问题的线性解决方案，它们还不错。
当谈到期权定价的优化时，我有一篇关于它的文章，但我建议使用库（py_volllib 或 Rust 中的
black_scholes）。
遗传算法，你不可能让 ChatGPT 在当前状态下为你制作，所以你实际上需要学习这个。我知道很多人
都成功实施了自动 Alpha 发现。
这并不是说它没有用，但请反思一下你期望LLMs过时的东西，或者至少意识到现在对解决许多这些问
题有用的事实LLMs，假设它们非常简单。

22
Chapter 10 High Frequency Trading & Market
Making

Here is a large dump of resource for HFT. In terms of textbooks, I recommend High-Frequency
Trading: A practical guide to algorithmic strategies and trading systems 2nd edition.

You can also check out any of these textbooks:

• Inside The Black Box

• Dark Pools and High Frequency Trading For Dummies
• Algorithmic and High-Frequency Trading

I don’t feel any of the textbooks above, including the one outside of the bullet point list, are
going to teach you how to do HFT. That’s going to come from playing around with the data,
and learning the dynamics. You’ll also get a benefit from forecasting and machine learning
knowledge. The textbooks really teach you the basics of HFT – not much beyond that.

The Nanex research articles are one of the best resources out there.

See the light reading section, but Flash Boys is amazing for HFT (basically the book that made
HFT well known) and so are these books (this overlaps with light reading, but I wanted to
highlight):

Dark Pools
Broken Markets
The Problem of HFT
Flash Boys: Not So Fast – This is an insiders review of Flash Boys and is really great
Trading at the speed of light

23
章
10 高频交易和做市

这是 HFT 的大量资源转储。在教科书方面，我推荐 High-Frequency Trading： A practical guide to

algorithmic strategies and trading systems 第 2 版。

您还可以查看这些教科书中的任何一本：

• 黑匣子内部
• 黑池和高频交易傻瓜书
• 算法和高频交易

我不觉得上面的任何教科书，包括要点列表之外的那本，都会教你如何进行 HFT。这将来自对数据的处
理和学习动态。您还将从预测和机器学习知识中受益。教科书真正教你高频交易的基础知识——除此之
外就不多了。

Nanex 研究文章是最好的资源之一。

请参阅轻松阅读部分，但 Flash Boys 对 HFT 来说太棒了（基本上是让 HFT 广为人知的书），这些书也

是如此（这与轻松阅读重叠，但我想强调一下）：

黑池
破碎的市场
HFT Flash Boys 的问题：没那么快 – 这是 Flash Boys 的内部人士评论，真的很棒以光速交
易

23
 QUANT ROADMAP

For learning how market makers function:

Empirical Market Microstructure

Trades Quotes and Prices – Microstructure textbook (REPEAT FROM ML SECTION)

List of links (not made by me):

https://sniperinmahwah.wordpress.com/2014/09/22/hft-in-my-backyard-part-i/

https://sudonull.com/post/93403-Online-Algorithms-in-High-Frequency-Trading-
Problems-of-Competition-ITI-Capital-Blog

https://www.youtube.com/watch?v=AS7HLtErlI8

Avellaneda strategy: A technical deep dive

https://hummingbot.io/blog/2021-04-avellaneda-tech-deepdown

A comprehensive guide to Avellaneda & Stoikov’s market-making strategy

https://hummingbot.io/blog/2021-04-avellaneda-stoikov-market-making-strategy

https://www.youtube.com/playlist?list=PL2F82ECDF8BB71B0C

https://medium.com/@eliquinox

https://www.youtube.com/watch?v=x gFzHx Ok8IQ&list=PLQnljOFTspQUGjfGdg8UvL

3D_K9ACL6Qh&index=9

https://alexabosi.wordpress.com/2014/08/28/limit-order-book-implementation-for-low-
latency-trading-in-c/

https://github.com/rubik/lobster

https://www.youtube.com/playlist?list=PL5Q2sox Y2zi_FRrloMa2fUYWPGizUBQo2

24
 量化路线图

要了解做市商如何运作：

实证市场微观结构

交易、报价和价格 – 微观结构教科书（从 ML 部分重复）

链接列表（不是我做的）：

https://sniperinmahwah.wordpress.com/2014/09/22/hft-in-my-backyard-part-i/

https://sudonull.com/post/93403-Online-Algorithms-in-High-Frequency-
TradingProblems-of-Competition-ITI-Capital-Blog

https://www.youtube.com/watch?v=AS7HLtErlI8

Avellaneda 策略：技术深入探讨

https://hummingbot.io/blog/2021-04-avellaneda-tech-deepdown

Avellaneda和Stoikov的市场制作策略的全面指南

https://hummingbot.io/blog/2021-04-avellaneda-stoikov-market-making-strategy

https://www.youtube.com/playlist?list=PL2F82ECDF8BB71B0C

https://medium.com/@eliquinox

https://www.youtube.com/watch?v=xgFzHxOk8IQ&list=PLQnljOFTspQUGjfGdg8UvL
3D_K9ACL6Qh&index=9
https://alexabosi.wordpress.com/2014/08/28/limit-order-book-implementation-for-
lowlatency-trading-in-c/

https://github.com/rubik/lobster

https://www.youtube.com/playlist?list=PL5Q2soxY2zi_FRrloMa2fUYWPGizUBQo2

24
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

https://www.youtube.com/watch?v=_OJmxi4-twY

https://www.youtube.com/watch?v=NmarI5ErisE

https://www.youtube.com/watch?v=9nuAjYRbITQ

https://t.co/Rcnw26Bzyr?amp=1

https://web.archive.org/web/20110219163448/http://howtohft.wordpress.
com/2011/02/15/how-to-build-a-fast-limit-order-book/

https://www.guru99.com/os-tutorial.html

https://github.com/theopenstreet/VPIN_HFT

https://github.com/hudson-and-thames/mlfinlab/blob/master/mlfinlab/data_structures/
imbalance_data_structures.py

https://drive.google.com/file/d/0B4pk0Nap6Tz LNTBhblRHcUJUVmM/
view?resourcekey=0-G3T886oNA-zxtLQE7tKz DA

INFRA:

https://medium.com/prooftrading/proof-engineering-the-algorithmic-trading-platform-
b9c2f195433d#a1f7

https://medium.com/prooftrading/selecting-a-database-for-an-algorithmic-trading-
system-2d25f9648d02

https://www.linkedin.com/in/silahian/detail/recent-activity/posts/

http://www.caravaggioinbinary.com/HFT-Simulation-Lab/

https://rickyhan.com/jekyll/update/2019/12/22/how-to-simulate-market-microstructure.
html

25
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

youtube https://www.youtube.com/watch?v=_OJmxi4-twY

https://www.youtube.com/watch?v=NmarI5ErisE

https://www.youtube.com/watch?v=9nuAjYRbITQ

https://t.co/Rcnw26Bzyr?amp=1

https://web.archive.org/web/20110219163448/http://howtohft.wordpress。
com/2011/02/15/how-to-build-a-fast-limit-order-book/

https://www.guru99.com/os-tutorial.html

https://github.com/theopenstreet/VPIN_HFT

https://github.com/hudson-and-thames/mlfinlab/blob/master/mlfinlab/data_structures/
imbalance_data_structures.py

https://drive.google.com/file/d/0B4pk0Nap6TzLNTBhblRHcUJUVmM/
view？resourcekey=0-G3T886oNA-zxtLQE7tKzDA

基础设施：

https://medium.com/prooftrading/proof-engineering-the-algorithmic-trading-
platformb9c2f195433d#a1f7
https://medium.com/prooftrading/selecting-a-database-for-an-algorithmic-
tradingsystem-2d25f9648d02

https://www.linkedin.com/in/silahian/detail/recent-activity/posts/

http://www.caravaggioinbinary.com/HFT-Simulation-Lab/

https://rickyhan.com/jekyll/update/2019/12/22/how-to-simulate-market-microstructure。
HTML格式

25
 QUANT ROADMAP

https://youtu.be/b1e4t2k2KJY

https://medium.com/prooftrading/the-trading-strategy-63183bd231cd

https://medium.com/prooftrading

https://mattgosden.medium.com/tutorial-using-pythons-unsync-library-to-make-an-
asynchronous-trading-bot-9ee2ae881272

https://www.youtube.com/watch?v=SOTamWNgDKc

Strats and Backtesting:

https://towardsdatascience.com/application-of-gradient-boosting-in-order-book-
modeling-3cd5f71575a7

http://jonathankinlay.com/2021/05/machine-learning-based-statistical-arbitrage/

https://letianzj.github.io/cointegration-pairs-trading.html

https://hudsonthames.org/caveats-in-calibrating-the-ou-process/

https://www.youtube.com/playlist?list=PLv-cA-4O3y95J6xmwSaCILL4FlGJzO0PJ

https://teddykoker.com/2019/05/momentum-strategy-from-stocks-on-the-move-in-
python/

Programming:

https://www.youtube.com/watch?v=NH1Tta7purM

https://www.youtube.com/watch?v=pBKwWl56ux c

26
 量化路线图

com/jekyll/update/2019/12/22/how-to-simulate-market-microstructure https://youtu.be/b1e4t2k2KJY

https://medium.com/prooftrading/the-trading-strategy-63183bd231cd

https://medium.com/prooftrading

https://mattgosden.medium.com/tutorial-using-pythons-unsync-library-to-make-
anasynchronous-trading-bot-9ee2ae881272

https://www.youtube.com/watch?v=SOTamWNgDKc

策略和回溯测试：

https://towardsdatascience.com/application-of-gradient-boosting-in-order-bookmodeling-
3cd5f71575a7

http://jonathankinlay.com/2021/05/machine-learning-based-statistical-arbitrage/

https://letianzj.github.io/cointegration-pairs-trading.html

https://hudsonthames.org/caveats-in-calibrating-the-ou-process/

https://www.youtube.com/playlist?list=PLv-cA-4O3y95J6xmwSaCILL4FlGJzO0PJ

https://teddykoker.com/2019/05/momentum-strategy-from-stocks-on-the-move-
inpython/

编程：

https://www.youtube.com/watch?v=NH1Tta7purM

https://www.youtube.com/watch?v=pBKwWl56uxc

26
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Market Data:

https://cdn.tun.to/minute/

http://www.kibot.com/free_historical_data.aspx

https://www.dukascopy.com/swiss/english/marketwatch/

3rd Edition Extras:

https://www.youtube.com/c/dYdx protocol/videos

https://medium.com/open-crypto-market-data-initiative/
simplified-avellaneda-stoikov-market-making-608b9d437403

h t t p s : // w w w . t a s t y t r a d e . c o m / s h o w s / g e e k s - o n - p a r a d e / e p i s o d e s /
market-making-with-shelly-geeks-2019-07-19-2019

https://quant.stackexchange.com/questions/36073/how-does-one-calibrate-lambda-in-a-
avellaneda-stoikov-market-making-problem

http://proceedings.mlr.press/v128/wisniewski20a.html

https://github.com/valeman/awesome-conformal-prediction

https://medium.com/prooftrading/building-a-high-performance-trading-system-in-the-
cloud-341db21be100

Algorithmic and Advanced Programming in Python:

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 1 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3953589

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 2 https://t.co/uq4I7V4oa3

27
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

市场数据：

https://cdn.tun.to/minute/

http://www.kibot.com/free_historical_data.aspx

https://www.dukascopy.com/swiss/english/marketwatch/

第 3 版附加内容：

https://www.youtube.com/c/dYdxprotocol/videos

H t t p s ： / / m e d i u m .c o m / o p e n - c r y p t o - m a r k e t - d a t a - i n i t i a t i v e
/ 简化-avellaneda-stoikov-market-making-608b9d437403
h t t p s ： // w w w .t a s t y t r a d e .C O M / S H O W S / G E E K S - O N - P A R A D E / E
P I S O D E S / 与雪莉极客一起做市 / 2019-07-19-2019
https://quant.stackexchange.com/questions/36073/how-does-one-calibrate-lambda-in-
aavellaneda-stoikov-market-making-problem

http://proceedings.mlr.press/v128/wisniewski20a.html

https://github.com/valeman/awesome-conformal-prediction

https://medium.com/prooftrading/building-a-high-performance-trading-system-in-
thecloud-341db21be100

youtube Python 算法和高级编程：

Python算法和高级编程 - 计算机科学、决策与数据课程大纲 - 大师班1

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3953589
Python算法和高级编程 - 计算机科学、决策与数据课程大纲 - 大师班2 https://t.co/uq4I7V4oa3

27
 QUANT ROADMAP

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 3 https://t.co/1ojWwr2SPO

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 4 https://t.co/Su7Oz D1SpU

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 6 https://t.co/hJoREz aOYc

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 7 https://t.co/TBs30cx oND

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 8 https://t.co/kGhjQzMBYx

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 9 https://t.co/FoSCRn4B5V

These will be a few more technically focused textbooks, but they explain some of the latency
tricks related to optimizing trading algorithms:

- Professional Automated Trading [REALLY GOOD READ]

- Developing High-Frequency Trading Systems
- Trading Systems: Performance Unleashed

28
 量化路线图

决策与数据 - Python算法与高级编程大师 https://t 班2 - 计算机科学、决策与数据课程 - 大师班3

https://t.co/1ojWwr2SPO
Python算法和高级编程 - 计算机科学、决策与数据课程大纲 - 大师班4 https://t.co/Su7OzD1SpU
Python算法和高级编程 - 计算机科学、决策与数据课程 - 大师班6 https://t.co/hJoREzaOYc
Python算法和高级编程 - 计算机科学、决策和数据课程大纲 - 大师班7 https://t.co/TBs30cxoND
Python算法和高级编程 - 计算机科学、决策与数据课程大纲 - 大师班8 https://t.co/kGhjQzMBYx
Python算法和高级编程 - 计算机科学、决策与数据课程大纲 - 大师班9 https://t.co/FoSCRn4B5V
这些将是一些更注重技术的教科书，但它们解释了一些与优化交易算法相关的延迟技巧：

- 专业自动交易 [REALLY GOOD READ]

- 开发高频交易系统
- 交易系统：性能释放

28
Chapter 11 Additional Volatility/Derivatives
Resources

This is just one link, but it contains many links within so don’t treat it lightly. This is a top
recommendation.

https://moontowerquant.com/select-content-from-the-quant-and-vol-community

Options Starter Pack

https://moontowerquant.com/options-starter-pack

Even more of me blatantly copying and pasting Kris’s recommendations/ resources, but they’re
really good

https://moontowerquant.com/moontower-content-by-kris-abdelmessih

Wilmott forum:

I cannot highlight how great of a resource this is. I think it may be one of the only resources
where a genuine discussion for pricing exotic derivatives etc can be found. There are some
alpha bits in there as well, but in the technical section of the forum there are discussions on
models from pricing everything from vanilla European options to Bermudian swaptions, and
better yet this is by people who work in the industry.

h t t p s : // f o r u m . w i l m o t t . c o m / ? _ g a = 2 . 7 9 1 5 9 6 3 6 . 1 3 0 4 7 3 6 7 9 5 . 1 6 4 2 8 7 5 6 4 2 -
1589239950.1642875641&_gl=1*3qlrhp*_ga*MTU4OTIzOTk1MC4xNjQyODc1NjQx*_ga_5
1FRCD57RP*MTY0Mjg3NTYzNy4xLjEuMTY0Mjg3NTY0OS4w

29
章
11 其他波动率/衍生品资源

这只是一个链接，但它包含许多链接，所以不要掉以轻心。这是首要建议。

https://moontowerquant.com/select-content-from-the-quant-and-vol-community

Options Starter Pack

https://moontowerquant.com/options-starter-pack

更多的是我公然复制和粘贴 Kris 的建议/资源，但它们真的很好

https://moontowerquant.com/moontower-content-by-kris-abdelmessih

Wilmott 论坛：

我无法强调这是一个多么棒的资源。我认为这可能是唯一可以找到真正讨论定价、奇异衍生品等的资源
之一。那里也有一些 alpha 位，但在论坛的技术部分，有关于模型的讨论，从普通欧洲期权到百慕大掉
期，从定价到所有模型，更好的是，这是由该行业工作的人进行的。

h t t p s ： // f o are you m .w i l m o t t .c o m / ？_ g a = 2 .7 9 1 5 9 6 3 6 .1 3 0 4 7 3 6 7 9
5 .1 6 4 2 8 7 5 6 4 2
1589239950.1642875641&_gl=1*3qlrhp*_ga*MTU4OTIzOTk1MC4xNjQyODc1NjQx*_ga_5
1FRCD57RP*MTY0Mjg3NTYzNy4xLjEuMTY0Mjg3NTY0OS4w

29
 QUANT ROADMAP

Nuclear Phynance (for some strange reason Wilmott and NP users hate each other) is a great
resource. Not so much derivatives only, both NP and Wilmott are diverse, but Wilmott is mainly
derivatives. This is an awesome server.

https://nuclearphynance.com/

Sadly, Nuclear Phynance got deleted. I have left the above in as a memorial to what the site
once was. I am sorry it is outdated, but I feel it should be remembered because it was a great
site. ThePythonQuant on Twitter is working to recreate it as I understand via discord.

30
 量化路线图

1 6 4 2 8 7 5 6 4 2 1589239950 Nuclear Phynance（出于某种奇怪的原因，Wilmott 和 NP 用户互

相憎恨）是一个很好的资源。不仅仅是衍生品，NP 和 Wilmott 都是多样化的，但 Wilmott 主要是衍
生品。这是一个很棒的服务器。

https://nuclearphynance.com/

遗憾的是，Nuclear Phynance 被删除了。我留下了上述内容，以纪念这个地方曾经的样子。很抱歉它

已经过时了，但我觉得应该记住它，因为它是一个很棒的网站。Twitter 上的 ThePythonQuant 正在努
力重新创建它，正如我通过 discord 了解的那样。

30
Chapter 12 Coding Languages Review and
Resources

This is mainly opinion, but for research you should know either R or Python very well (I
recommend Python as there are more resources) although when you become more advanced
basic Python will not be fast enough so you will need to learn advanced Python and Cython
(using C/C++ through Python).

Learning Quantitative Finance with R

High Performance Python

Clean Code In Python

Advanced Python Programming

Expert Python Programming

If you want to do High Frequency Trading (HFT) or Market Making (MM) you will need to learn
C/C++ because it is the fastest (in crypto Rust is preferred). Hard to learn, so don’t start with
it, but rewarding.

In terms of research languages some quants will use R or MATLAB specifically because it has
lots of statistical functions that are optimized for data analysis. Ernest Chan loves MATLAB but
in reality, it isn’t very good so stick with R if you want to learn a 2nd/3rd language for researching
math heavy topics specifically. Otherwise, Python should fill the role.

Anaconda (100% free) is an easy way to install R and Python and comes with Jupyter notebook
and Spyder (I like Spyder as an IDE although this is a big debate), but Jupyter is without fail the
best for working in for research, and both R and Python can be used in it.

31
章
12 编程语言回顾和资源

这主要是意见，但对于研究，您应该非常了解 R 或 Python（我推荐 Python，因为有更多资源），尽

管当您变得更高级时，基本 Python 将不够快，因此您需要学习高级 Python 和 Cython（通过 Python
使用 C/C++）。

用 R 学习量化金融学

高性能 Python

在 Python 中清理代码

高级 Python 编程

专家 Python 编程

如果您想进行高频交易 （HFT） 或做市 （MM），您将需要学习 C/C++，因为它是最快的（在加密

中首选 Rust）。很难学习，所以不要从它开始，但会有所收获。
在研究语言方面，一些量化指标会专门使用 R 或 MATLAB，因为它有很多针对数据分析进行了优化的
统计函数。Ernest Chan 喜欢 MATLAB，但实际上它不是很好，所以如果你想学习 2/3 语言来专门研
究数学重的主题，请坚持使用 R。否则，Python 应该填补这个角色。
Anaconda（100% 免费）是安装 R 和 Python 的一种简单方法，并附带 Jupyter 笔记本和 Spyder
（我喜欢 Spyder 作为 IDE，尽管这是一个很大的争论），但 Jupyter 无疑是最适合研究的，R 和
Python 都可以在其中使用。

31
 QUANT ROADMAP

If you are hopeless at programming, or just want to go fast then Orange (comes with Anaconda)
uses a graphical user interface and requires no programming. It uses scikit learn models which
can easily be implemented when you do pick up some code as well (for implementation for
example). Really great stuff with loads of models, and you can run your own Python scripts in
it if the model is not available. There are external packages to install like time series models
and NLP specifically, but the standard library is great as well.

Below I have added some resources for learning algorithmic trading skills in alternative coding
languages as well as textbooks for generally becoming good at these languages, but these
are quite advanced and are for later in your journey. Focus on the textbooks in the start of the
roadmap:

C++ High Performance For Financial Systems

High Performance C++ (Textbook)(ADVANCED)

Machine Learning in C++ YouTube Playlist/Course

Machine Learning with C++ (Textbook)

Modern Data Mining in C++ and CUDA C

Data Mining Algorithms in C++

Testing and tuning market trading systems: algorithms in C++ (Textbook)

These are lecture series on algorithms, data structures, logic etc. These will help you to program
better and learn to find solutions that are as fast and efficient as possible:

In my time working in the digital assets industry, I have come to find that Rust is actually
far more popular than C/C++, so hence I have decided to include a new section on my Rust
programming textbooks:

The Rust Programming Language

Rust For Rustaceans

32
 量化路线图

如果您对编程无望，或者只是想快速上手，那么 Orange（Anaconda 附带）使用图形用户界面，不需

要编程。它使用 scikit 学习模型，当您确实学习一些代码时（例如用于实现），也可以轻松实现这些模
型。非常棒的东西，有大量的模型，如果模型不可用，你可以在其中运行自己的 Python 脚本。有一些
外部软件包需要安装，特别是时间序列模型和 NLP，但标准库也很棒。
下面我添加了一些用于学习替代编码语言算法交易技能的资源，以及通常擅长这些语言的教科书，但这
些都是非常高级的，适用于您以后的旅程。关注路线图开头的教科书：

适用于金融系统的 C++ 高性能

高性能 C++ （教材）（高级）

C++ 中的机器学习 YouTube 播放列表/课程

使用 C++ 进行机器学习（教科书）

C++ 和 CUDA C 中的现代数据挖掘

C++ 中的数据挖掘算法

测试和调整市场交易系统：C++ 中的算法（教科书）

这些是关于算法、数据结构、逻辑等的系列讲座。这些将帮助您更好地编程并学习找到尽可能快速有效
的解决方案：
在数字资产行业工作期间，我发现 Rust 实际上比 C/C++ 流行得多，因此我决定在我的 Rust 编程教
科书中加入一个新的部分：

Rust 编程语言

Rustaceans 的 Rust

32
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Rust High Performance

Concurrency with Rust

Rust Network Programming

In my own Rust journey, we were building a cross-exchange spot arbitrage bot and this was
basically my first time touching the language. Having only known Python, R, and C++ as my
best languages, I jumped straight into coding it. I was literally googling how to do for loops and
if conditions in Rust while I coded. I knew there obviously was some syntax for these things
as I’d done them in C++, but over the period of a week whilst coding this bot I went from 0
knowledge to being half decent at it. I suggest that readers do the same.

It was a good lesson that I was sitting watching videos about Solidity and one of the devs on
my team came up to me and went “why aren’t you just coding a smart contract, you’ll learn
10x as much” and that is just as true now as it was at the time. In hindsight I already knew this
and was being a bit lazy. The truth is that if you simply read these textbooks (and it goes for
all textbooks, but especially the programming textbooks, hence why this has it’s own learning
note instead of going in the ‘how to learn this material chapter’) you will forget everything you
have learned in no time. You need to put the textbook on the desk next to you and treat it as a
way of discovering what you don’t know you don’t know – but you can’t actually “learn” from
the textbook, only discover that you didn’t know something.

33
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

Rust 高性能

与 Rust 并发

Rust 网络编程

在我自己的 Rust 之旅中，我们正在构建一个跨交易所现货套利机器人，这基本上是我第一次接触这门

语言。我只知道 Python、R 和 C++ 是我最好的语言，所以我直接开始编写代码。我实际上是在谷歌
上搜索如何在编码时在 Rust 中执行 for 循环和 if 条件。我知道这些东西显然有一些语法，因为我在
C++ 中完成了它们，但在编写这个机器人的一周时间里，我从零知识变成了半个体面。我建议读者也
这样做。
我坐着看有关 Solidity 的视频，我团队中的一位开发人员走过来对我说：“你为什么不直接编写一个
智能合约，你会学到 10 倍的东西”，现在和当时一样正确。事后看来，我已经知道这一点，而且有点
懒惰。事实是，如果你简单地阅读这些教科书（适用于所有教科书，尤其是编程教科书，这就是为什么
它有自己的学习笔记而不是进入“如何学习此材料章节”），你很快就会忘记你学到的一切。你需要把
课本放在你旁边的桌子上，把它当作一种发现你不知道的东西的方式——但你实际上不能从教科书中
“学习”，只能发现你不知道什么。

33
Chapter 13 Projects

Many of these projects involve neural networks or complicated methods I do not necessarily
recommend taking such routes as it is my view that they are overcomplicating things. Master
regressions, and practically minded approaches. These are a list of resources for if you are very
focused on deep learning already and want to expand. It is not my suggestion that anybody
choose these as their first projects (I include them because my goal here is to include anything
relevant).

I have full sections on 5 different types of strategies:

1. Pairs Trading
2. Arbitrage
3. Market Making
4. Momentum
5. Seasonality

These are by no means comprehensive, but they are the areas I have put into production by far
the most and have a lot of experience with. Thus, I have written sections specifically on them
so that you can get ideas for projects. I feel this is the most practical source of inspiration for
those projects.

Subject Structure Method Information URL

Deep Learning of Small Deep learning of Topology reshaping 1) the sparsification https://www.linkedin.com/pulse/deep-
Portfolios for Index sparse autoencoder techniques which techniques force it learning-small-portfolios-index-tracking-
Tracking (SAE) models help to identify less during training to nikolay-nikolaev/
complex models generalize better,
that capture the and 2) the robustifi-
essential structure cation using a heavy-
in the data tailed noise model
diminishes the effect
of outliers
Algorithmic Cryptocur- Sharpe-optimal Con- Recurring Nonlinear directional fluc- https://www.linkedin.com/pulse/algo-
rency Trading with nectionist Learning Pattern tuations in the given rithmic-cryptocurrency-trading-sharpe-
Sharpe-optimal Deep (SCL), Recurrent series which are optimal-deep-nikolaev/
Learning Reinforcement sufficient for sending
Learning (RRL) trading signals.

34
章
13 项目

其中许多项目涉及神经网络或复杂的方法，我不一定建议走这样的路线，因为我认为它们使事情过于复
杂。掌握回归和务实的方法。如果您已经非常专注于深度学习并希望扩展，这些资源列表可供您使用。
我不建议任何人选择这些作为他们的第一个项目（我包括它们，因为我在这里的目标是包括任何相关的
东西）。

我有关于 5 种不同类型策略的完整部分：

1. 配对交易
2. 套汇
3. 做市商
4. 动量
5. 季节性

这些绝不是全面的，但它们是我迄今为止投入生产最多的领域，并且拥有丰富的经验。因此，我专门针
对它们编写了部分，以便您可以获得项目的想法。我觉得这是这些项目最实用的灵感来源。

主题 结构 方法 信息 URL
用于指数跟踪的小型投资组 深度学习 拓扑重塑 1） 稀疏化 https://www.linkedin.com/pulse/deeplearni
合的深度学习 稀疏自动编码器 有助于识别捕获数据中 技术强迫它 ng-small-portfolios-index-trackingnikolay-
（SAE） 型号 基本结构的不太复杂的 在训练期间 nikolaev/
模型的技术 泛化更好，
2） 稳健性
使用重尾噪声模型的阳离
子
减弱效果
异常值

使用 Sharpe-optimal Sharpe-optimal Con- 循环非线性 定向波动 https://www.linkedin.com/pulse/algorith

Deep Learning 的算法加 内在者学习 模式 给定序列中的元 mic-cryptocurrency-trading-
密货币交易 （SCL），循环 sharpeoptimal-deep-nikolaev/
加固 足以发送交易信号。
学习 （RRL）

34
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Universal Cointegration CCM(kNN) -Cross Estimated Price Linear combination https://www.linkedin.com/pulse/universal-

for Pairs Trading via Covergent Mapping by Pair Nonlinear produces a station- cointegration-pairs-trading-via-machine-
Machine Learning (k cluster Nearest Modeling(Estimated ary residual differ- nikolay-nikolaev/?trackingId=nKswdHj1R
Neighbors) Single Asset Price ence series (also %2FagxOErDCoMSg%3D%3D
by Nonlinear mod- called spread).
eling)
Local Prediction of Mid- kNN Regression Arrival Time(kNN Order Book Mid https://www.linkedin.com/pulse/local-
Prices in Limit Order Regression) Price Arrival time prediction-mid-prices-limit-order-book-
Book Markets markets-nikolay-nikolaev/
Machine Learning with pdf(kNN), Nonparametric Local Density kNN https://www.linkedin.com/pulse/machine-
Dynamic Time Patterns CDF(kNN),Adaptive forecasting of learning-dynamic-time-patterns-algorith-
for Algorithmic Trading Shape Distance time series using mic-trading-nikolaev/
(ASD) [3], Com- dynamic time pat-
plexity Invariance terns
Distance (CID) [4],
Dynamic Time Warp-
ing (DTW)
Nonparametric Self-adaptive Local Adaptive repeating Essential charac- https://www.linkedin.com/pulse/nonpara-
Machine Learning for Learning Machine nonlinear patterns teristics of the data metric-machine-learning-algorithmic-
Algorithmic Cryptocur- (SLLM) by proportional trajectory trading-nikolay-nikolaev/
rency Trading degree of similar-
ity reflecting the
essential charac-
teristics of the data
trajectory
Overfitting Avoidance Multivariate General Network Architec- Proportionally den- https://www.linkedin.com/pulse/overfit-
in Portfolio Construc- Regression Neural ture sity of the effective ting-avoidance-portfolio-construction-
tion using Probabilistic Network (MGRNN) range (stock spread) using-neural-nikolaev/
Neural Networks
Generative Adversarial Generative Adver- Generator network Closeness between https://www.linkedin.com/pulse/genera-
Networks for Machine sarial Network and a discriminator the utilities obtained tive-adversarial-networks-machine-learn-
Learning of Constrained (GAN) network that play an with sampled ing-nikolay-nikolaev/
Portfolios adversarial game weights
Deep Neural Networks Robust DNN Nonlinearity Rectified Units/Gra- https://www.linkedin.com/pulse/deep-neu-
for Prediction-based (RDNN) dient Convergence ral-networks-prediction-based-portfolio-
Portfolio Construction Speed nikolay-nikolaev/

Regime-based Machine Markov Regime- Volatility based Portfolio weights https://www.linkedin.com/pulse/regime-

Learning of Green Switching (MRS) regime switching are calculated based-machine-learning-green-stock-
Stock Portfolios model dependent on the portfolios-nikolay-nikolaev/
particular regime,
that is the portfolio is
conditioned on the
regimes.
Efficient Direct Rein- Connectionist Rein- Multi-output feed- Risk-averse invest- https://www.linkedin.com/pulse/efficient-
forcement Learning of forcement Learning forward neural ment strategy as a direct-reinforcement-learning-low-risk-
Low-risk Portfolios machine for efficient network sequence of alloca- nikolay-nikolaev/
computation of tions and re-balanc-
Online Portfolios ing decisions
(CRLOP)
Deep Learning of Deep Dynamic Deep network asset returns from https://www.linkedin.com/pulse/deep-
Dynamic Factor Models Factor Model structure, Neural inferred factor real- learning-dynamic-factor-models-asset-
for Asset Pricing (DDFM) network pruning izations, more pre- pricing-nikolay-nikolaev/
technique, using a cisely, the factors are
cardinality param- forecasted arrange-
eter to control the ments of individual
degree of sparse- asset contributions to
ness the overall portfolio.

35
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

通过机器学习进行配对交易 CCM（kNN） -交叉 预计价格 线性组合 https://www.linkedin.com/pulse/universalcoi

的通用协整 Covergent 映射 by 对非线性 产生一个工作站- ntegration-pairs-trading-via-machinenikolay-
（k 群集 最近 建模（估计 ary 残差 nikolaev/?trackingId=nKswdHj1R
邻居） 单一资产价格 ENCE 系列（也 %2FagxOErDCoMSg%3D%3D
by 非线性 mod- 称为传播）。
伊玲）
限价订单簿市场中 MidPrice kNN 回归 到达时间（kNN 订单簿中 https://www.linkedin.com/pulse/localpred
的本地预测 回归） 价格 到货时间 iction-mid-prices-limit-order-
bookmarkets-nikolay-nikolaev/

用于算法交易的具有动态时 pdf（kNN）、 非参数 局部密度 kNN https://www.linkedin.com/pulse/machine-

间模式的机器学习 CDF（kNN），自适应 预测 学习-动态-时间-模式-算法-交易-尼古拉耶夫/
Shape Distance 使用 Time Series Using
（ASD）[3]， 通信 动态时间拍打-
plexity 不变性 燕鸥
距离 （CID） [4]，
动态时间扭曲-
ing （DTW）
用于算法加密货币交易的非 自适应本地 自适应重复 数据轨迹的基本特征 https://www.linkedin.com/pulse/nonparame
参数机器学习 学习机 非线性模式 tric-machine-learning-algorithmictrading-
（SLLM） 按比例 nikolay-nikolaev/
相似程度-
ity 反映
数据轨迹的基本特征

避免过拟合 多元一般回归神经网络 网络架构- 按比例密度 https://www.linkedin.com/pulse/overfit-

in 使用概率神经网络构建投 （MGRNN） ture 有效 ting-avoidance-portfolio-
资组合 Range （Stock spread） （范围
constructionusing-neural-nikolaev/
（股票价差）

用于约束投资组合机器学习的 生成广告- 发电机网络 使用采样权重获得的实用 https://www.linkedin.com/pulse/generative-

生成对抗网络 sarial 网络 以及玩对抗游戏的判别器 程序之间的接近度 adversarial-networks-machine-learning-
（甘） 网络 nikolay-nikolaev/

用于基于预测的投资组合构 稳健的 DNN 非线性整流单位/Gra- https://www.linkedin.com/pulse/deep-neural-

建的深度神经网络 （RDNN） dient Convergence networks-prediction-based-portfolionikolay-
速度 nikolaev/

基于制度的绿色股票投资组 马尔可夫政权- 基于波动性 投资组合权重 https://www.linkedin.com/pulse/regimeba

合机器学习 交换 （MRS） 政权切换 是计算的 sed-machine-learning-green-
型 依赖于 stockportfolios-nikolay-nikolaev/
特定制度，即投资组合以
制度为条件。

高效的直接控制 联结主义者 多输出馈电- 规避风险的投资- https://www.linkedin.com/pulse/efficient-

forcement 学习低风险投 forcement 学习 正向神经 ment 策略作为 直接强化学习低风险尼古拉伊尼古拉耶夫/
资组合 高效机器 网络 分配顺序和重新平衡决策
计算
在线作品集
（克洛普）
用于资产定价的动态因子模 深度动态 深度网络 推断因子实现的资产回 https://www.linkedin.com/pulse/deeplear
型的深度学习 因子模型 结构， 神经 报，更准确地说，这些因 ning-dynamic-factor-models-assetpricing-
（DDFM） 网络修剪 子是单个资产对整个投资 nikolay-nikolaev/
技术，使用 组合贡献的预测安排。
cardinality 参数-
eter 来控制
稀疏度-
ness

35
 QUANT ROADMAP

Support Vector epsilon Support Sparse regression Two hyperparam- https://www.linkedin.com/pulse/support-

Machine Learning of Vector Regression algorithm eters: the first deter- vector-machine-learning-sparse-portfo-
Sparse Portfolios (e-SVR) machine mines the size of the lios-nikolay-nikolaev/
sensitivity, and the
second determines
its influence on the
magnitude of the fit-
ting error.
Online Portfolio Trading Reinforcement Recurrent neural Momentum and https://www.linkedin.com/pulse/online-
by Dynamic Reinforce- Learning machine network adaptive learning portfolio-trading-dynamic-reinforcement-
ment Learning for Online Portfolio rate for switching nikolay-nikolaev/
trading (RLOP) between passive and
aggressive updating
depending on the
recent profitability.

Building Smart Beta Smart Beta portfo- Alternating Direc- Statistical charac- https://www.linkedin.com/pulse/building-
Portfolios with Large- lios, like the Most tion Method of Mul- teristics and econo- smart-beta-portfolios-large-scale-
Scale Machine Learn- Diversified Portfolio tipliers (ADMM) metric performan- machine-nikolay-nikolaev/
ing (MDP), Risk Parity ceof the proposed
Portfolio (RPP) ADMM-based tool for
creating Smart Beta
portfolios
Bayesian Machine Bayesian Robust Ornstein–Uhlen- Heavy-tailed models https://www.linkedin.com/pulse/bayesian-
Learning for Robust Online Portfolio beck stochastic dif- of returns on prices machine-learning-robust-on-line-portfolio-
On-line Portfolio Selec- Selection (BROPS) ferential equation (based on an nikolay-nikolaev/
tion approximation of the
Student-t density by
an infinite mixture of
Gaussians)
Efficient Computa- Most Diversified Nonlinear program- Maximize the https://www.linkedin.com/pulse/efficient-
tion of Sparse Risk- Portfolio (MDP), ming algorithms ratio between the computation-sparse-risk-based-portfolios-
based Portfolios using Equal Risk Contribu- weighted aver- using-nikolaev/
Machine Learning tion (ERC) age volatility of the
assets and the total
portfolio volatility
Robust Portfolio Optimi- Mean-Variance Port- Quadratic Program- Optimized Mean https://www.linkedin.com/pulse/robust-
zation via Connectionist folio (MVP), Con- ming (QP) and Minimum STD, portfolio-optimization-via-connectionist-
Machine Learning nectionist Optimiza- Convergence Rate machine-nikolaev/
tion Machine (COM) (Speed)
Deep Cleaning of Covariance Matrix Autoencoder denoised versions https://www.linkedin.com/pulse/deep-
Covariance Matrices for Machine (AEM) of the eigenvectors cleaning-covariance-matrices-portfolio-
Portfolio Allocation of the covariance nikolay-nikolaev/
matrix which help to
recover its genuine
structure
Finding Structure in the Centroid K-means algorithm mean-reverting https://www.linkedin.com/pulse/finding-
Co-movement of Stock and the Self-Orga- eigenportfolio with structure-co-movement-stock-prices-via-
Prices via Adaptive nizing Map (SOM) the stocks from each metric-nikolaev/
Metric networks cluster
Deep Learning Auto- Portfolio arbitrage Principal Compo- eigenportfolio as a https://www.linkedin.com/pulse/deep-
encoders for Building nent Analysis (PCA) linear combination of learning-autoencoders-building-principal-
Principal Component and the Autoencod- all stocks which are nikolay-nikolaev/
Portfolios ers (AE), Variational allocated contribu-
Bayesian inference tions according to
their corresponding
coefficients in the
first principal com-
ponent

36
 量化路线图

支持向量 epsilon 支持 稀疏回归 两个超参数- https://www.linkedin.com/pulse/supportve

机器学习 向量回归 算法 ETERS：第一个威慑 ctor-machine-learning-sparse-portfolios-
稀疏投资组合 （e-SVR） 机器 挖掘灵敏度的大小，第二 nikolay-nikolaev/
个确定

它对拟合误差大小的影
响。

通过动态强化学习进行在线 加固 复发神经 Momentum 和 https://www.linkedin.com/pulse/onlineportf

投资组合交易 在线投资组合交易 网络 自适应学习 olio-trading-dynamic-reinforcementnikolay-
（RLOP） 学习机 转换速率 nikolaev/
在 passive 和 之间
主动更新
取决于
最近的盈利能力。

使用大规模机器学习构建 Smart Beta 端口fo- 交替导向 拟议的基于 ADMM 的用 https://www.linkedin.com/pulse/buildingsm

智能 Beta 投资组合 lios，就像 Most 多种方法 于创建智能 Beta 投资组 art-beta-portfolios-large-scalemachine-
多元化的投资组合 提示 （ADMM） 合的工具的统计特征和计 nikolay-nikolaev/
（MDP），风险平价 量经济学性能
投资组合 （RPP）

贝叶斯机 贝叶斯稳健 Ornstein-Uhlenbeck 价格回报率的重尾模型 https://www.linkedin.com/pulse/bayesianmac

学习稳健的在线投资组合选 在线作品集 随机微分方程 （基于 Student-t 密度的 hine-learning-robust-on-line-
择 选择 （BROPS） 近似值 portfolionikolay-nikolaev/

的无限混合
高斯人）

高效计算 最多元化 非线性规划- 最大化 https://www.linkedin.com/pulse/efficient-

使用机器学习的稀疏基于风 投资组合 （MDP），同 ming 算法 比率 computation-sparse-risk-based-
险的投资组合 等风险贡献 （ERC） 资产的加权平均波动率 portfoliosusing-nikolaev/
和投资组合的总波动率

通过 Connectionist 机器学 均值-方差端口- 二次方规划- 优化均值 https://www.linkedin.com/pulse/robustpor

习实现稳健的投资组合优化 作品集 （MVP）、 明 （QP） 和最低 STD， tfolio-optimization-via-
Connectionist 收敛率 connectionistmachine-nikolaev/
Optimization Machine （速度）
深度清理投资组合分配的协 协方差矩阵 自动编码器 降噪版本 https://www.linkedin.com/pulse/deepclean
方差矩阵 计算机 （AEM） 特征向量 ing-covariance-matrices-portfolionikolay-
的协方差矩阵有助于恢 nikolaev/
复其真实结构

通过 Adaptive Metric 寻找 质心 K-means 算法 均值回归 https://www.linkedin.com/pulse/finding-

股票价格协同运动的结构 和自我组织- 包含每个集群中股票的 结构协同运动股票价格 Viametric-Nikolaev/
nizing Map （SOM） eigenportfolio
网络
用于构建主组件组合的深 投资组合套利 本金组成- EigenPortfolio 作为所有 https://www.linkedin.com/pulse/deeplearnin
度学习自动编码器 nent 分析 （PCA） 股票的线性组合，这些股 g-autoencoders-building-principalnikolay-
和自动编码器 （AE）， 票根据其相应的贡献进行 nikolaev/
变分贝叶斯推理 分配

第一主成分中的系数

36
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Machine Learning of Robust Dynamic Statistical arbitrage mean-reverting https://www.linkedin.com/pulse/machine-

Heavy-Tailed Dynamic Mixture Models (statarb) spreads based on a learning-heavy-tailed-dynamic-spread-
Spread Models for Sta- discrete version of models-nikolay-nikolaev/
tistical Arbitrage the Ornstein–Uhlen-
beck stochastic dif-
ferential equation,
Dynamic Hedge
Ratios
Self-Tuning Local Self-tuning Local Local Learning autocorrelations, https://www.linkedin.com/pulse/self-tun-
Learning Machines Learning Machine machines (LLMs) behaviour patterns ing-local-learning-machines-prediction-
for Prediction of Stock (SLLM) based on the near- stock-market-nikolaev/
Market Returns est neighbours
approach
Deep Learning of Het- Dynamic hetero- Deep connectionist Volatility rank and https://www.linkedin.com/pulse/deep-
eroskedastic Volatility skedastic volatility structure by unroll- probability, time rela- learning-heteroskedastic-volatility-mod-
Models for Risk Estima- models (D2GARCH) ing the network in tionships in the data els-risk-nikolay-nikolaev/
tion time.
Deep-Memory Net- Deep-Memory Dynamical system Feature Extraction https://www.linkedin.com/pulse/deep-
works vs. Deep Learn- Neural Networks using sequential -> long-term memory-networks-vs-deep-learning-
ing Networks for Stock (DMNN) Bayesian estimation dependencies via stock-market-nikolay-nikolaev/
Market Prediction to accommodate memory feedbacks
properly the tempo- and gates for
ral dimension. behavioural control

37
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

用于统计套利的重尾动态价 稳健动态 统计套利 （statarb） 均值回归 https://www.linkedin.com/pulse/machinelear

差模型的机器学习 混合物模型 点差基于 ning-heavy-tailed-dynamic-spreadmodels-
的 discrete 版本 nikolay-nikolaev/
Ornstein-Uhlenbeck 随
机微分方程，动态对冲比
率

自调谐本地 自调优本地 本地学习 自相关， https://www.linkedin.com/pulse/self-

用于预测股票市场回报的学 学习机 机器 （LLMs） 行为模式 tuning-local-learning-machines-
习机器 （SLLM） 基于近 - predictionstock-market-nikolaev/
EST 邻居
方法
用于风险估计的异方差波动 动态异方差波动率模型 通过及时展开网络来构 数据中的波动率排名和概 https://www.linkedin.com/pulse/deeplearni
率模型的深度学习 （D2GARCH） 建深度连接主义结构。 率、时间关系 ng-heteroskedastic-volatility-models-risk-
nikolay-nikolaev/

用于股票市场的深度记忆网 深内存 动力系统 特征提取 https://www.linkedin.com/pulse/deepme

络与深度学习网络 神经网络 使用 Sequential -> 长期 mory-networks-vs-deep-learningstock-
（DMNN） 贝叶斯估计 dependencies 通过 market-nikolay-nikolaev/
容纳 内存反馈
适当的节奏- 和 gates
RAL 维度。 行为控制

37
Chapter 14 Data

Data is typically not the easiest to come by. There are 3 different sources of data that are free
you can find on the internet:

1. Data dumps from people who have paid for it

2. Free data directly from the exchange (popular in crypto)
3. Competition data

There’s also Yahoo Finance which I would consider an exception, and of course there are ways
to get data via trial and web scraping sites like investing dot com, yahoo finance, etc.

Before we get started, here are some articles about data (cleaning, sourcing, and pre-processing):

- QR1: Demons Lurk In Your Data by 0xfdf

- Quant Arb’s Data Sourcing Guide
- Quant Arb’s Data Pre-Processing Guide

First, I will start with a list of providers – this is not necessarily my top sources for budget, but
simply an overview of who is considered the go-tos. For crypto this list is (heavily based on
systematicls’ tweet which was community driven with modifications of my own):

Tick Data:

1. Tardis (majority + preferential over Kaiko)

2. Kaiko (majority)
3. LO Tech (founded by @TimMeggs )

I have not tried LO Tech, but Tim has a strong reputation in the community, worth checking out.
Tardis is generally accepted as the default standard. It is vastly cheaper and easier to use than

38
章
14 Data

数据通常不是最容易获得的。您可以在互联网上找到 3 种不同的免费数据源：

1. 付费者的数据转储
2. 直接从交易所获得免费数据（在加密货币中很受欢迎）
3. 比赛数据

还有我认为是个例外的 Yahoo Finance，当然，有一些方法可以通过试用和网络抓取网站（如

investing .com、yahoo Finance 等）获取数据。
在开始之前，以下是一些关于数据（清理、采购和预处理）的文章：

- QR1：恶魔潜伏在您的数据中 作者：0xfdf
- Quant Arb 的数据来源指南
- Quant Arb 的数据预处理指南

首先，我将从一份供应商名单开始——这不一定是我的主要预算来源，而只是对谁被认为是首选的概
述。对于加密货币，这个列表是（主要基于 systematicls 的推文，该推文是社区驱动的，由我自己的修
改）：

Tick 数据：

1. Tardis（多数 + 优先于 Kaiko）

2. Kaiko （多数）
3. LO Tech （由 @TimMeggs 创立）

我还没有尝试过 LO Tech，但 Tim 在社区中有很高的声誉，值得一试。Tardis 通常被接受为默认标准。

它比

38
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Kaiko – although still in the tens and tens of thousands at the institutional level. Kaiko has
much better coverage than Tardis, so that’s mostly the niche that is filled with it.

Blockchain:

1. Dune (rec by @spxudi )

2. Glassnote (rec by @quant_arb )
3. Santiment (rec by @quant_arb )
4. Arkham (rec by @spxudi )
5. IntoTheBlock (rec by @friendscallmeap )
6. Flipside (rec by @friendscallmeap )
7. The Tie (rec by @sersabr )

News:

1. Ravenpack (majority)
2. Velo (majority)

You can also get news data from Tiingo if you want it to be quite cheap, and you can get
sentiment data that is similarly priced to Ravenpack from Alexandria research.

OHLCV data can be acquired directly from the exchanges in digital assets.

Tiingo - $30/mo. Cheap, but the data is only fundamental, EOD, minute data, and news data.
There are some issues with the crypto data because it is aggregated cross-exchange so the
highs and lows and extreme relative to what you would normally see. Live data as well.

Polygon – a bit more than Tiingo, but has tons of coverage and a lot more different types of
data. Still priced in a very retail friendly way.

Binance – FREE. Only crypto data and the historical data is of course limited to aggregates
historically and only a brief window if you want historical sub-minute data. But I have scraped
quotes so ask and I can provide.

39
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

Tardis 被普遍接受为默认的标准 Kaiko——尽管在机构层面仍然有数万。Kaiko 的覆盖范围比 Tardis 好

得多，所以这主要是它所占据的利基市场。

区块链：

1. 沙丘 （@spxudi 推荐 ）
2. Glassnote （由 @quant_arb 提供）
3. Santiment （由 @quant_arb 提供）
4. 阿卡姆 （rec by @spxudi ）
5. IntoTheBlock （由 @friendscallmeap 提供）
6. Flipside （由 @friendscallmeap 推荐 ）
7. The Tie （由 @sersabr 提供）

新闻：

1. Ravenpack（多数）
2. Velo （多数）

如果您希望 Tiingo 非常便宜，您还可以从 Tiingo 获取新闻数据，并且您可以从 Alexandria Research

获得与 Ravenpack 价格相似的情绪数据。

OHLCV 数据可以直接从数字资产的交易所获取。

Tiingo - 30 美元/月。便宜，但数据只是基本面、EOD、分钟数据和新闻数据。加密数据存在一些问
题，因为它是聚合的交叉交易所，因此相对于您通常看到的而言，高点和低点以及极端值。实时数据也
是如此。
Polygon – 比 Tiingo 多一点，但具有大量的覆盖范围和更多不同类型的数据。仍然以非常零售友好的
方式定价。
币安 – 免费。只有加密数据和历史数据当然仅限于历史聚合，如果您想要历史亚分钟数据，则只是一
个短暂的窗口。但是我已经刮掉了引文，所以请问，我可以提供。

39
 QUANT ROADMAP

IBKR - $10-30. Super cheap and you can basically get all the data you could ever want out of
it but you need an account and $500 deposited with them since they’re a broker (my broker
recommendation btw). The API is slow as shit so if you want to download their entire options
data library you better make a scraper in AWS Cloud because it will literally take over a month.
(AWS SageMaker Jupyter notebooks are an easy way to scrape data without needing to set
up servers using anything technical, this method can also be done for live hosting trading
algorithms)

Links: (Over a TB of data, worth a fortune, but handed out here for free!)

Numerai uses community sources alpha for running it’s fund and gives out loads of free data

https://numer.ai/

G-Research Crypto gives out data as well, but don’t submit code. Read the legal docs you are
giving them it basically. Blatant code grab. (God this data is awful. I think it was broken on
purpose to make the challenge harder)

https://www.kaggle.com/c/g-research-crypto-forecasting/data

22GB of IQFeed Data

https://mega.nz/folder/HUQzDCgK#rc45Nqx hRA8SFgK1l2MYcw

1.2GB of CompuStat data.

https://mega.nz/file/6IwnQKQL#x b1PQja8veVCRWy7nJ_o45z KeDyDy4IYV7QAHQnv7A4

Cryptocurrency data for Bittmex

https://www.kaggle.com/tencars/392-crypto-currency-pairs-at-minute-resolution

3k stocks, decade+ of financial data

https://www.kaggle.com/miguelaenlle/parsed-sec-10q-filings-since-2006

40
 量化路线图

IBKR - 10-30 美元。超级便宜，你基本上可以从中获得你想要的所有数据，但你需要一个账户并存入

500 美元，因为他们是经纪人（顺便说一句，我的经纪人推荐）。该 API 慢得像狗屎一样慢，所以如果
你想下载他们的整个选项数据库，你最好在 AWS 云中做一个爬虫，因为它实际上需要一个多月的时
间。（AWS SageMaker Jupyter 笔记本是一种无需使用任何技术设置服务器即可抓取数据的简单方
法，此方法也可用于实时托管交易算法）

链接：（超过 1TB 的数据，价值不菲，但在这里免费分发！

Numerai 使用社区资源 alpha 来运行其基金，并提供大量免费数据

https://numer.ai/

G-Research Crypto 也会提供数据，但不提交代码。基本上阅读您提供给他们的法律文件。公然抢代

码。（天哪，这个数据太糟糕了。我认为它是故意打破的，目的是让挑战更难）

https://www.kaggle.com/c/g-research-crypto-forecasting/data

22GB IQFeed 数据

https://mega.nz/folder/HUQzDCgK#rc45NqxhRA8SFgK1l2MYcw

1.2GB 的 CompuStat 数据。

https://mega.nz/file/6IwnQKQL#xb1PQja8veVCRWy7nJ_o45zKeDyDy4IYV7QAHQnv7A4

Bittmex 的加密货币数据

https://www.kaggle.com/tencars/392-crypto-currency-pairs-at-minute-resolution

3K 只股票，十年+ 的财经数据

https://www.kaggle.com/miguelaenlle/parsed-sec-10q-filings-since-2006

40
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

More data. Also not great, but hey anything helps, and it can be fixed of course

https://www.kaggle.com/c/ubiquant-market-prediction/data

Loads of NLP data. Headlines and analyst reports mainly

https://www.kaggle.com/miguelaenlle/massive-stock-news-analysis-db-for-nlpbacktests

Google search data

https://www.kaggle.com/miguelaenlle/google-trends-history-for-4000-stocks

Optiver IV prediction data

https://www.kaggle.com/c/optiver-realized-volatility-prediction/data

41
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

kaggle 更多数据。也不是很好，但嘿，任何帮助都有帮助，当然可以修复

https://www.kaggle.com/c/ubiquant-market-prediction/data

大量 NLP 数据。主要为头条新闻和分析报告

https://www.kaggle.com/miguelaenlle/massive-stock-news-analysis-db-for-nlpbacktests

Google 搜索数据

https://www.kaggle.com/miguelaenlle/google-trends-history-for-4000-stocks

Optiver IV 预测数据

https://www.kaggle.com/c/optiver-realized-volatility-prediction/data

41
Chapter 15 GitHub Repositories

One of the best ways to find good examples are on GitHub and one of the best repositories for
algorithmic trading is the one that accompanies the machine learning for algorithmic trading
textbook referenced earlier.

https://github.com/stefan-jansen/machine-learning-for-trading

Barter is a Github made by someone over at Keyrock, which is a market making firm in the
digital assets space. It’s become a bit dry, but was the initial inspiration for one of the core
trading libraries I use at work. Worth having a read through to get a better idea of how things
should be structured.

https://github.com/barter-rs/barter-rs

Another repository that comes from a textbook is the repository that comes from Mastering
Python for Finance. The models in the textbook are quite good especially LSTAR models which
aren’t usually in time series courses, but are great models.

https://github.com/jamesmawm/Mastering-Python-for-Finance-source-codes

This is a github repository that links to other notebooks and has quantitative resources in
itself. It has a lot more risk models/ pricing models especially compared to the first repository
referenced which is purely about generating alpha, and still has loads of purely alpha based
model so is loaded with resources.

https://github.com/letianzj/QuantResearch

42
章
15 GitHub 存储库

kaggle 找到好例子的最佳方法之一是在 GitHub 上，而算法交易的最佳存储库之一是前面提到的算法交

易机器学习教科书随附的存储库。

https://github.com/stefan-jansen/machine-learning-for-trading

Barter 是由 Keyrock 的某人制作的 Github，Keyrock 是数字资产领域的一家做市公司。它变得有点枯

燥，但这是我在工作中使用的核心交易库之一的最初灵感。值得通读一遍，以更好地了解事情应该如何
构建。

https://github.com/barter-rs/barter-rs

另一个来自教科书的存储库是来自 Mastering Python for Finance 的存储库。教科书中的模型非常

好，尤其是 LSTAR 模型，它们通常不在时间序列课程中，但却是很棒的模型。

https://github.com/jamesmawm/Mastering-Python-for-Finance-source-codes

这是一个 github 存储库，链接到其他笔记本，本身具有定量资源。它有更多的风险模型/定价模型，尤

其是与引用的第一个存储库相比，它纯粹是关于生成 alpha，并且仍然具有大量纯粹基于 alpha 的模
型，因此加载了资源。

https://github.com/letianzj/QuantResearch

42
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

This github provides some basic examples toward applying signal processing in Python which
can be used as features in the feature engineering process rather successfully.

https://github.com/SparkAbhi/SignalProcessingWithPython

This is an interesting project that applies one of the most important pairs trading papers in
the literature in a detailed manner with up to date code examples as well. The use of PCA to
generate multivariate portfolios for both portfolio optimization and mean reversion trading is
a key advancement here.

https://github.com/alexdai186/Eigenportfolios

Generating features/ finding examples of great features to use is always a good thing to have
so the next two repositories give great examples of basic feature engineering. The second one
doesn’t make as good features as these are only basic price features, but it shows how to use
PySpark (I personally prefer Dask – it’s more effective) which is used for big data applications
such as with HFT data (a couple months of quote data can be 50GB compressed -> ½ TB
uncompressed and 50TB if you engineer 500 features, so distributed computing is needed!)

https://github.com/hjeffreywang/Stock_feature_engineering/blob/master/Feature_
generation.ipynb

https://github.com/MiaDor12/Advanced_Feature_Engineering_of_Raw_Data_of_
Stocks-with_PySpark/blob/master/Advanced%20feature%20engineering%20with%20
pyspark%20on%20raw%20data%20of%20stocks.ipynb

Here is another example of good feature engineering and the use of fractional differencing to
make the data stationary which then lets you use models that assume stationarity such as FFT
(Fast Fourier Transform) although there are non-stationary signal processing models as well.
More details are in a thread I wrote on this subject on twitter

https://github.com/alexbotsula/Price_direction_forecast

43
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

这个 github 提供了一些在 Python 中应用信号处理的基本示例，这些示例可以相当成功地用作特征工

程过程中的特征。

https://github.com/SparkAbhi/SignalProcessingWithPython

这是一个有趣的项目，它以详细的方式应用了文献中最重要的货币对交易论文之一，并提供了最新的代
码示例。使用 PCA 为投资组合优化和均值回归交易生成多变量投资组合是一项关键进步。

https://github.com/alexdai186/Eigenportfolios

生成功能/寻找要使用的出色功能示例总是一件好事，因此接下来的两个存储库提供了基本功能工程的优
秀示例。第二个没有那么好的功能，因为这些只是基本的价格功能，但它展示了如何使用 PySpark（我
个人更喜欢 Dask – 它更有效），它用于大数据应用程序，例如 HFT 数据（几个月的报价数据可以是
50GB 压缩 - > 1/2 TB 未压缩，如果您设计 500 个功能，则为 50TB， 所以分布式计算是必要的！

https://github.com/hjeffreywang/Stock_feature_engineering/blob/master/Feature_
generation.ipynb
https://github.com/MiaDor12/Advanced_Feature_Engineering_of_Raw_Data_of_ Stocks-
with_PySpark/blob/master/Advanced%20feature%20engineering%20with%20
pyspark%20on%20raw%20data%20of%20stocks.ipynb

这是另一个良好的特征工程示例，它使用分数阶差分使数据保持平稳，然后允许您使用假设平稳性的模
型，例如 FFT（快速傅里叶变换），尽管也有非平稳信号处理模型。更多细节在我在 twitter 上写的关
于这个主题的帖子中

https://github.com/alexbotsula/Price_direction_forecast

43
 QUANT ROADMAP

Here is a github full of microstructural models for high frequency trading (the next few repos
will be HFT/MM).

https://github.com/gjimzhou/MTH9879-Market-Microstructure-Models

VPIN is an important model for market making and is one of the latest models in the literature
so here is an implementation repository.

https://github.com/jheusser/vpin

High frequency trading statistical arbitrage example github repository.

https://github.com/clfrenchgit/gdax-bot

HFT using DL models for statistical arbitrage.

https://github.com/scibrokes/real-time-fxcm

This one isn’t quite github but is a great resource for finding example C++ code for developing
low latency C++ systems.

http://dlib.net/

A great example of C++ HFT MM algorithms. An improvement idea I have suggested to the
author but can also be attempted by interested algotraders is that a fast model like x GBOOST
(there is a C++ library) is used alongside some alphas to make spreads asymmetric before
traders can trade against you and you get negative edge in those trades. A large part of market
making is cheaply executing alphas by trying to get inventory on the side of your predictions
and also by getting out the way of adverse conditions by making your spreads asymmetrically
wide (traders with alpha against you).

https://github.com/hello2all/gamma-ray

Massive dump of mainly papers and some textbooks!

https://mega.nz/folder/g90whIDK#8f2uz ESbHFTBEzG-0udqrA

44
 量化路线图

这是一个充满高频交易微观结构模型的 github（接下来的几个 repo 将是 HFT/MM）。

https://github.com/gjimzhou/MTH9879-Market-Microstructure-Models

VPIN 是做市的重要模型，也是文献中的最新模型之一，因此这里有一个实现存储库。

https://github.com/jheusser/vpin

高频交易统计套利示例 github 存储库。

https://github.com/clfrenchgit/gdax-bot

使用 DL 模型进行统计套利的 HFT。

https://github.com/scibrokes/real-time-fxcm

这个不是 github，但是一个很好的资源，用于查找用于开发低延迟 C++ 系统的示例 C++ 代码。

http://dlib.net/

C++ HFT MM 算法的一个很好的例子。我向作者提出了一个改进想法，但感兴趣的算法交易者也可以

尝试，即像 xGBOOST（有一个 C++ 库）这样的快速模型与一些 alpha 一起使用，在交易者可以与您
交易之前使点差不对称，并且您在这些交易中获得负优势。做市的很大一部分是通过试图让库存符合您
的预测来廉价地执行 alphas，并通过使您的价差不对称地扩大来摆脱不利条件（拥有 alpha 的交易者
对您不利）。

https://github.com/hello2all/gamma-ray

一大堆主要是论文和一些教科书！

https://mega.nz/folder/g90whIDK#8f2uzESbHFTBEzG-0udqrA

44
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

These are more just other people’s resources, but they are all in drives and I enjoyed most of
them, but obviously I prefer my own resources as I have vetted them more.

https://github.com/beimingmaster/quant-resources

This is a GitHub repository written by @Beatzx BT on Twitter. It’s full of tons of great market
making content. Well worth checking out!

https://github.com/beatzxbt

45
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

这些更多的是其他人的资源，但它们都在驱动器中，我喜欢其中的大部分，但显然我更喜欢我自己的资
源，因为我对它们进行了更多的审查。

https://github.com/beimingmaster/quant-resources

这是 @BeatzxBT 在 Twitter 上编写的 GitHub 存储库。它充满了大量精彩的做市内容。非常值得一

试！

https://github.com/beatzxbt

45
Chapter 16 Light Reading

This section includes books that are not quite textbooks but build a general knowledge of how
the industry works. This is good for showing you know the industry well in interviews, and just
really great common sense in modelling.

Liars Poker

Flash Boys (This and Dark Pools are a great resource of understanding HFT)

Irrational Exuberance

The intelligent investor

Pragmatic capitalism (there is a great list of books to read at the end of the book)

The black swan – tail risk

Fooled by randomness – tail risk/ understanding randomness

The quants (Scott Patterson) (so much common sense, and lessons in this book)

Dark Pools (Scott Patterson)

More money than god – A full history of hedge funds

Black edge – Steve Cohen Biography. What a legend

The man who solved the markets – Great book but here is a summary of the lessons from
a friend (but do read the book as well, it’s interesting)

46
章
16 轻松阅读

本节包括一些书籍，这些书籍不完全是教科书，但建立了对该行业如何运作的一般知识。这有利于在面
试中表明你非常了解这个行业，而且在模特方面真的是很好的常识。

骗子扑克

Flash Boys（这个和 Dark Pools 是了解 HFT 的重要资源）

非理性的繁荣

聪明的投资者

务实的资本主义（书末有一份很棒的书单可以阅读）

黑天鹅 – 尾巴风险

被随机性愚弄 – 尾部风险/理解随机性

量化分析师 （Scott Patterson） （本书中有很多常识和教训）

黑池 （Scott Patterson）

比上帝更多的钱 – 对冲基金的完整历史

黑边 – 史蒂夫·科恩 （Steve Cohen） 传记。多么传奇

解决市场问题的人 – 很棒的书，但这里有一个朋友的经验总结（但也要读这本书，这很有趣）

46
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

A man for All Markets: Beating the Odds, from Las Vegas to Wall Street

The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin, and Reward

When Genius Failed – A very important lesson emphasized by the quants

A Random Walk Down Wall Street

Billion Dollar Whale

The Predators’ Ball

Broken Markets

The Problem of HFT

Flash Boys: Not So Fast – This is an insiders review of Flash Boys and is really great

Trading at the speed of light

Investing for adults – Easily the greatest book for passive investing (It’s a mini-series, but
basically as long as a single book)

The rise of carry

Bombardiers - Po Bronson

FTSE: The Inside Story

Flash Crash: A Trading Savant, a Global Manhunt and the Most Mysterious Market Crash in
History

47
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

所有市场的男人：战胜困难，从拉斯维加斯到华尔街

市场的（错误）行为：风险、破产和回报的分形观点

当天才失败时 – 量化分析师强调的一个非常重要的教训

在华尔街随机漫步

Billion Dollar 鲸鱼

铁血战士的舞会

破碎的市场

HFT 的问题

Flash Boys：不那么快 – 这是 Flash Boys 的内部人士评论，真的很棒

以光速交易

成人投资 – 很容易成为被动投资最伟大的书（这是一个迷你系列，但基本上和一本书一样长）

Carry 的兴起

庞巴迪 - Po Bronson

FTSE：内幕

Flash Crash：交易专家、全球追捕和历史上最神秘的市场崩盘

47
Chapter 17 Careers

The usual career path:

1. Attend Target University (this means top university)

2. President of Finance Club / Student Consultancy / Interest Shown
3. University Internships
4. Spend at minimum 3 months memorizing every question in a quant interview question
textbook and learning every brain teaser you can find.
5. Cold emails/ coffee chats/ networking
6. Get a job at a prop shop / hedge fund / investment bank
7. Move to a smaller shop and run risk

Here is a very useful article I wrote about the pathways to running risk in a lot more details:

https://x.com/quant_arb/status/1801233401136992756

The first thing to make this better is to get a top internship in high school or early university.
This is hard, and by no means necessary but it certainly helps you along and differentiates you.
Resources are provided below. Once an internship is obtained it is referred to as a conveyor
belt because it becomes far easier to get another. 85% of those with internships come back.
When you receive a summer internship do not wear a Rolex, Gucci sleds, etc. You are there to
wear a plain Casio, always leave later than your boss, and get that return offer.

Read this thread by Rich Handler for some great internship advice.

One resource is Wall Street Oasis. This is very heavy on investment bankers and finance
focused individuals, but there is certainly room for quant. r/quant on reddit has a good few
career posts on there, worth checking out.

48
章
17 职业规划

通常的职业道路：

1. 就读目标大学（这意味着顶尖大学）
2. 金融俱乐部主席 / 学生咨询 / 表现出兴趣
3. 大学实习
4. 花至少 3 个月的时间记住定量面试问题教科书中的每一个问题，并学习你能找到的每一个脑筋急
转弯。
5. 冷电子邮件/咖啡聊天/社交
6. 在自营店 / 对冲基金 / 投资银行找工作
7. 搬到较小的商店并承担风险

这是我写的一篇非常有用的文章，详细介绍了 running risk 的途径：

https://x.com/quant_arb/status/1801233401136992756

让这一切变得更好的第一件事是在高中或大学早期获得顶级实习机会。这很难，而且绝不是必需的，但
它肯定会帮助您并让您与众不同。下面提供了资源。一旦获得实习机会，它就被称为传送带，因为获得
另一个实习机会变得更加容易。85% 的实习生回来了。当您获得暑期实习机会时，请勿佩戴 Rolex、
Gucci 雪橇等。你在那里穿普通的卡西欧，总是比你的老板晚离开，并获得退货优惠。

阅读 Rich Handler 的这个帖子，了解一些很棒的实习建议。

一种资源是 Wall Street Oasis。这对投资银行家和专注于金融的个人来说非常沉重，但肯定有量化的空

间。reddit 上的 r/quant 上有很多职业帖子，值得一看。

48
 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

Watch Alpesh Patel on Tiktok (@greatinvestments) and check out the “internship” he offers.
They are a 100m+ fund and offer an open internship. It’s basically a course and you won’t learn
much, but anyone can do it and it will +1000 points your resume.

Same deal with “theforage.com”. You can get virtual GS, and JPMC internships (no application/
rejection it’s open to all) which aren’t really actual ones, so I do recommend being careful with
this, but anything to bolster the resume can help until you’ve worked in some real roles, but
make sure to be transparent.

Here is a YouTube channel all about investment banking and hedge funds/ private equity. This
is coming from the non-quantitative side of things and probably refers to Macro or ELS (Equity
Long/Short) funds more than quant funds and is also more M&A (Mergers and Acquisitions)
than S&T (Sales and Trading), but that doesn’t really matter because the recruiting processes
are basically the same. Some really good videos about coffee chats. The fact is that you will
be sending 1000s of cold emails/LinkedIn messages. Kris Sidial would follow senior people
to work and give them his resume, and he’s doing very well now. Don’t be embarrassed to do
this because otherwise someone else will. The competition is massive so the process for
recruiting is ruthless. The usual process is:

• Cold email/LinkedIn/twitter message (Be thoughtful there are guides in the YT channel
for all of these parts btw)
• Attempt to get a call. This is your chance to shine and why you’ve been reading piles of
textbooks. You need to be impressive because otherwise they won’t want the next step
• Coffee chat. Try and get an in person meeting. You should be subtle about it but once
it is going well ask about internships. The entire product of all this effort is to get a
single comment from them to HR in the break room along the lines of “If you see an
application from xx, he really knows what he’s talking about and is really interested”.
https://www.youtube.com/c/PeakFrameworks

Another tip I will give is that showing that you can learn fast and are willing to put in those
hours to get there is just as important as knowing what you are talking about.

A great article about careers from some top industry characters. I will highlight a quote that I
really took away from it and personally agree with. It is a lot easier to teach a mathematician

49
 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

在 Tiktok （@greatinvestments） 上观看 Alpesh Patel 并查看他提供的“实习”。他们是一个

100m+ 基金，并提供公开实习机会。这基本上是一门课程，你不会学到太多东西，但任何人都可以做
到，它会让你的简历 +1000 分。
“theforage.com”也是如此。你可以获得虚拟的 GS 和 JPMC 实习（没有申请/拒绝，它对所有人开
放），它们并不是真正的实习，所以我确实建议小心这一点，但在你担任过一些真实角色之前，任何支
持简历的东西都会有所帮助，但要确保透明。
这是一个关于投资银行和对冲基金/私募股权的 YouTube 频道。这是来自非量化方面的，可能更多地
指的是宏观或 ELS（股票多/空）基金而不是量化基金，也更像是并购（并购）而不是 S&T（销售和交
易），但这并不重要，因为招聘流程基本相同。一些关于咖啡聊天的非常好的视频。事实是，您将发送
1000 封冷电子邮件/LinkedIn 消息。Kris Sidial 会跟着前辈去上班，给他们简历，他现在做得很好。
不要因为这样做而感到尴尬，否则其他人会这样做。竞争非常激烈，因此招聘过程是无情的。通常的过
程是：

• 冷电子邮件/LinkedIn/twitter 消息（顺便说一句，YT 频道中所有这些部分都有指南）

• 尝试接听电话。这是您大放异彩的机会，也是您阅读成堆教科书的原因。你需要令人印象深刻，
否则他们不会想要下一步

• 喝咖啡聊天。尝试进行面对面的会议。你应该对此保持微妙，但一旦进展顺利，就询问实习情
况。所有这些努力的全部结果就是从他们那里得到一条评论给休息室的 HR，内容是“如果你看
到 xx 的申请，他真的知道他在说什么并且真的很感兴趣”。
https://www.youtube.com/c/PeakFrameworks

我要给出的另一个提示是，表明你可以快速学习并愿意投入这些时间来达到目标，这与了解你在说什么
一样重要。
一篇关于一些顶级行业人物的职业生涯的精彩文章。我将强调我真正从中吸取并个人同意的一句话。教
数学家要容易得多

49
 QUANT ROADMAP

to trade than a trader to solve PDEs. The math you learn in your degree is a way of thinking as
much as it is useful

https://notion.moontowermeta.com/career-advice

For those looking to learn derivatives and volatility and work on an exotics desk at an investment
bank (one of the best ways to learn), in addition to the resources posted earlier Benn Eifert on
Twitter often posts interview questions that can’t be found elsewhere.

Here is a good channel for careers for extra.

https://www.youtube.com/c/DimitriBianco

50
 量化路线图

我将强调我真正从中得到的一句话，我个人同意交易而不是交易员来解决 PDE。你在学位中学到的数学
是一种思考方式，它既有用又有用

https://notion.moontowermeta.com/career-advice

对于那些希望学习衍生品和波动性并在投资银行的异国情调的办公桌上工作（最好的学习方式之一）的
人来说，除了之前发布的资源外，Benn Eifert 在 Twitter 上还经常发布在其他地方找不到的面试问题。

这是 extra 职业的好渠道。

https://www.youtube.com/c/DimitriBianco

50
Chapter 18 Arbitrage Guide

This chapter will mostly focus on arbitrage in digital assets, as this is where I am most familiar
with the topic. There are many different pieces of knowledge involved. Some are more general
like how to use limit orders to improve a strategy (and this relates heavily to market making),
and then there are components that are specific to each trade.

I’ve talked about the specifics of each trade before in these articles:

1. Funding Arbitrage [part 1]

2. Triangular Arbitrage [link]
3. Spot Arbitrage [part 1] [part 2]
4. Perpetuals Arbitrage [link]
5. Event Arbitrage [Substack] [Twitter]

I’ve written about how to optimize the latency component here, and I’ve also talked about
execution components here, but also as part of a general article on how to improve arbitrages
from a higher level perspective (improvements that apply to all arbitrages)

For funding arbitrages, there are these websites to scan for them (but I recommend you build
your own):

• Bybitpremiums [link]
• Bybitpremiums Liquidity Goblin [link]
• Coinglass [link] [link2]
• Crypto and Carry [link]
• Crypto Funding Tracker [link]
• Coinalyze [link]

51
章
18 套利指南

youtube 本章将主要关注数字资产的套利，因为这是我最熟悉这个话题的地方。涉及许多不同的知识。
有些更通用，例如如何使用限价单来改进策略（这与做市密切相关），然后是特定于每笔交易的组件。

我之前在这些文章中谈到了每种交易的细节：

1. 资金套利 [第 1 部分]
2. 三角套利 [link]
3. 现货套利 [part 1] [part 2]
4. 永续套利 [link]
5. 事件套利 [Substack] [Twitter]

我在这里写了关于如何优化延迟组件的文章，我也在这里谈到了执行组件，但也作为一篇关于如何从更
高层次的角度改进套利的一般文章的一部分（适用于所有套利的改进）
对于资金套利，有这些网站可以扫描它们（但我建议你自己构建）：

• Bybitpremiums [链接]
• Bybitpremiums Liquidity Goblin [链接]
• Coinglass [链接] [link2]
• 加密货币和套利 [link]
• Crypto Funding Tracker [链接]
• Coinalyze [链接]

51
 QUANT ROADMAP

Here are some alternative blog articles on funding rate arbitrage:

1. https://blog.biqutex.com/funding-rate-arbitrage/
2. https://medium.com/@x ulian0x/mastering-funding-rate-arbitrage-in-crypto-a-
comprehensive-guide-27b4c3bb0f90
3. https://www.binance.com/en/suppor t/faq/what-is-the-binance-funding-
rate-arbitrage-bot-and-how-does-it-work-f330e17d6fc04679b9b21d6f935
0e787
4. https://blog.amberdata.io/the-ultimate-guide-to-funding-rate-arbitrage-amberdata
5. https://learn.bybit.com/bybit-guide/bybit-funding-fee-arbitrage/
6. https://academy.synfutures.com/funding-rate-arbitrage-in-crypto-exchanges-
opportunities-and-risks/
7. https://docs.trade.polynomial.fi/strategies-and-tools/funding-rate-arbitrage-101
8. https://medium.com/@blex_education/funding-rate-arbitrage-guide-59d4878539ba

For cross-exchange spot arbitrages, here are some scanner sites, but again I recommend you
code up your own because many exchanges have wash flow or the data can be inaccurate. It’s
very important that you are able to control the data yourself to ensure this. These are great for
finding new exchanges or opportunities to add new features:

1. Free Crypto Arbitrage [link]

2. x pher [link]

52
 量化路线图

以下是一些关于资金费率套利的替代博客文章：

1. https://blog.biqutex.com/funding-rate-arbitrage/
2. https://medium.com/@xulian0x/mastering-funding-rate-arbitrage-in-crypto-
acomprehensive-guide-27b4c3bb0f90
3. https://www.binance.com/en/suppor t/faq/what-is-the-binance-fundingrate-arbitrage-
bot-and-how-does-it-work-f330e17d6fc04679b9b21d6f935 0e787

4. https://blog.amberdata.io/the-ultimate-guide-to-funding-rate-arbitrage-amberdata
5. https://learn.bybit.com/bybit-guide/bybit-funding-fee-arbitrage/
6. https://academy.synfutures.com/funding-rate-arbitrage-in-crypto-
exchangesopportunities-and-risks/
7. https://docs.trade.polynomial.fi/strategies-and-tools/funding-rate-arbitrage-101
8. https://medium.com/@blex_education/funding-rate-arbitrage-guide-59d4878539ba

对于跨交易所现货套利，这里有一些扫描仪网站，但我再次建议您自己编写代码，因为许多交易所都有
清洗流或数据可能不准确。您必须能够自己控制数据以确保这一点，这一点非常重要。这些非常适合寻
找新的交易所或添加新功能的机会：

1. 免费加密套利 [link]
2. xpher [链接]

52
Chapter 19 Market Making Guide

Market making isn’t the easiest way to make money – that’s for sure, but it scales a lot better
than arbitrage strategies, and you don’t have to worry about the trade eventually dying out.
You can still have your lunch eaten, and markets can still get more competitive over time, but
with arbitrage you know there will be a day when you can no longer compete, and you need to
constantly think about growing into a new trade.

For many people, that new trade is market making. They begin making into the arbitrage to try
and get a leg-up on their competitors and improve their fills, and in no time they are market
making. This is a common path I tend to hear about and have experienced it myself.

Now, that I’ve talked a bit about how people end up doing it – let’s get down to what matters.
Your priorities are as follows:

1. Edge
2. Spreads
3. Risk

Edge manifests itself via your ability to accurately forecast mid-price, and to react to events
with low enough latency. If you consider yourself more of a statistical person, and don’t know
what you are doing on the latency front – either prepare to learn or move up into the minute
frequency because you need to optimize latency at some point in the trade. That or pick an
absurdly inefficient market.

Spreads are about how wide you are. It’s not so much how wide you are on average, that’s
actually quite easy to tune. Say I want to be x % of the volume in this asset, I tune my spreads
until I am. You can also tune off PNL, but that’s a lot noisier so that component that tunes your
spread should focus over a longer period of time, with a much shorter tuning based around the
volume of the asset.

53
章
19 做市指南

做市并不是最简单的赚钱方式——这是肯定的，但它的规模比套利策略好得多，而且您不必担心交易
最终会消失。你仍然可以吃午饭，随着时间的推移，市场仍然可以变得更有竞争力，但有了套利，你知
道总有一天你无法再竞争，你需要不断考虑发展到一个新的行业。
对许多人来说，这种新交易就是做市。他们开始进行套利，试图在竞争对手中占得先机并提高他们的成
交量，并且很快就开始做市了。这是我经常听到并亲身经历过的一条常见路径。
现在，我已经谈到了人们最终是如何做到这一点的——让我们开始讨论重要的事情。您的优先事项如
下：

1. Edge
2. 传播
3. Risk

Edge 通过您准确预测中间价格的能力以及以足够低延迟的速度对事件做出反应的能力来体现自己。如
果您认为自己更像是一个统计人员，并且不知道自己在延迟方面做了什么，那么要么准备学习，要么提
高到分钟频率，因为您需要在交易的某个时间点优化延迟。或者选择一个效率低得离谱的市场。
点差是关于您的范围。与其说你平均有多宽，不如说这实际上很容易调整。假设我想成为该资产交易量
的 x%，我会调整我的价差，直到我达到 x%。您也可以关闭 PNL，但这会更加嘈杂，因此调整
spread 的组件应该专注于更长的时间，并根据资产的音量进行更短的调整。

53
 QUANT ROADMAP

A starting point of reference for your spreads can be the EWMA of the spread width over time.
This will put you in a bad position if spreads blow out, so your next step is figuring out when
this is wrong – i.e. when this is the worst advice you’ve ever heard.

Economic events are an obvious time when you may not want to be quoting. There’s going to
be a brief few seconds where everyone who trades are the people who have just got the event
data before you could and are now on a mission to eat your lunch, but prior to the event…
go-ahead, at that point it’s just retail goons who want to bet on CPI. That is unless you suspect
information leakage… there’s a Nanex article on that, which is one of many reasons I’ve put it
in the HFT resources.

Now, on to risk. This is the part that gets focused on the most by everyone. It’s the reason
you see these complicated equations to balance your inventory, but in reality it’s not a great
idea to do that. Those correlations you see in your models don’t necessarily hold and they can
often be a reason for your algorithm to take on tons of *toxic* inventory because it believes
it’s fully hedged against another asset. In this regard, you get adverse filled against when
this correlation does not hold. You get adverse filled against damn near anything you can be
adverse filled on in all honesty.

Going back to edge. How long should my forecast horizon be? Well, it’s based on how long
you expect to hold. That’s the period you care about after all. That said, we can see a pretty
exponential decay in the level of signal once filled when measuring adversity, and you probably
wouldn’t want to get a fill like that to begin with. That said, if you are extremely fast and only
care about the ultra-short-term then forecast out that far, because that’s where you have the
best forecasting edge anyways. The same rule is a bit iffier when it comes to whether you
should just ignore adversity if you plan on holding inventory for longer – at that point you end
up thinking about taking, and can treat the adversity as a trading cost.

These are just my thoughts afterall, but I think it’s a half decent run through on the basics of
it all. Keep refining your system with new insights – it’s all quite mechanical and clear afterall,
and eventually you’ll make money.

54
 量化路线图

点差的参考起点可以是点差宽度随时间变化的 EWMA。如果价差扩大，这将使您处于不利的境地，因
此您的下一步是弄清楚何时是错误的 – 即当这是您听过的最糟糕的建议时。
经济事件显然是您可能不想报价的时候。在短暂的几秒钟内，每个交易的人都是在您之前刚刚获得事件
数据的人，现在正在执行一个任务，即吃午饭，但在事件之前......顺便说一句，到那时，只有散户暴徒
想押注 CPI。那是除非你怀疑信息泄露......有一篇关于这一点的 Nanex 文章，这是我将其放入 HFT 资
源的众多原因之一。
现在，让我们来谈谈风险。这是每个人都最关注的部分。这就是您看到这些复杂的方程式来平衡库存的
原因，但实际上这样做并不是一个好主意。您在模型中看到的那些相关性不一定成立，它们通常可能是
您的算法承担大量 * 有毒* 库存的原因，因为它认为它与另一种资产完全对冲。在这方面，当这种相关
性不成立时，您会得到不利的填充。老实说，你几乎会对任何可能被不利填充的东西进行不利的填充。
回到边缘。我的预测范围应该有多长？嗯，这取决于您预计持有多长时间。毕竟，那是你关心的时期。
也就是说，在测量逆境时，我们可以看到信号电平一旦填充就会呈相当指数级衰减，您可能不希望一开
始就得到这样的填充。也就是说，如果你的速度非常快，并且只关心超短期，那么就预测那么远，因为
无论如何，那都是你有最佳预测优势的地方。如果您打算更长时间地持有库存，那么是否应该忽略逆境
时，同样的规则有点不稳定——那时您最终会考虑吸收，并且可以将逆境视为交易成本。
这些毕竟只是我的想法，但我认为它对这一切的基本知识进行了半体面的介绍。不断用新的见解来完善
你的系统——毕竟这一切都是相当机械和清晰的，最终你会赚钱。

54
Chapter 20 Pairs Trading Guide

Pairs trading is an ever evolving field, to start let’s go through some articles. I think @systematicls
on Twitter has one of the best articles out there where he implements a statistical arbitrage
strategy. I also have a section of my blog with many articles on there related to pairs trading.

Some resources:

• Article on eigenportfolios.
• Github full of pairs trading strategies
• Great article by liquidity goblin on eyeballing spread
• Articles by H&T
• Guide by H&T
• Ready-to-run strategies on QC (free):
o https://www.quantconnect.com/research/15298/
pairs-trading-copula-vs-cointegration/p1
o https://www.quantconnect.com/research/15347/intraday-dynamic-
pairs-trading-using-correlation-and-cointegration-approach/
p1
o https://www.quantconnect.com/research/15300/pairs-trading-with-stocks/p1
o https://www.quantconnect.com/research/15299/pairs-trading-with-country-etfs/p1
o https://www.quantconnect.com/research/15355/
mean-reversion-statistical-arbitrage-strategy-in-stocks/p1

55
章
20 配对交易指南

配对交易是一个不断发展的领域，首先让我们浏览一些文章。我认为 @systematicls 在 Twitter 上有一

篇最好的文章，他在其中实施了统计套利策略。我的博客中也有一个部分，里面有很多与配对交易相关
的文章。

一些资源：

• 关于特征投资组合的文章。
• Github 满是配对交易策略
• 流动性 goblin 关于眼球价差的精彩文章
• H&T 的文章
• H&T 指南
• 即用型 QC 策略（免费）：
o https://www.quantconnect.com/research/15298/ pairs-trading-copula-vs-
cointegration/p1 o https://www.quantconnect.com/research/15347/intraday-
dynamicpairs-trading-using-correlation-and-cointegration-approach/ p1 o
https://www.quantconnect.com/research/15300/pairs-trading-with-stocks/p1 o
https://www.quantconnect.com/research/15299/pairs-trading-with-country-etfs/p1 o
https://www.quantconnect.com/research/15355/均值回归统计套利策略在股票/p1

55
Chapter 21 Seasonality Guide

On the blog I have a full overview of seasonality strategies already so I’ve linked that below:

https://www.algos.org/p/seasonality-a-comprehensive-overview

I also co-wrote a paper on a strategy that generalizes seasonality with HangukQuant. Here’s
the PNL curve when applied to crypto markets (curve is smoother when trading many coins):

https://www.algos.org/p/seasonality-in-commodities-markets
章
21 季节性指南

在博客上，我已经对季节性策略进行了完整的概述，因此我将其链接如下：

https://www.algos.org/p/seasonality-a-comprehensive-overview

我还与 HangukQuant 合著了一篇关于推广季节性策略的论文。以下是应用于加密市场的盈亏曲线（交

易多个代币时曲线更平滑）：

https://www.algos.org/p/seasonality-in-commodities-markets
Chapter 22 Momentum Guide

I wrote this a while ago on my blog so I won’t re-write it, but I will link to resources.

https://www.algos.org/p/breaking-down-momentum-strategies
章
22 动量指南

算法我前段时间在我的博客上写了这篇文章，所以我不会重写它，但我会链接到资源。

https://www.algos.org/p/breaking-down-momentum-strategies
Chapter 23 Blogs To Read

Blogs are often a great place to find novel ideas and information that is very practically minded compared
to academic literature. If you exclusively read papers, you’ll get bogged down in academics and emerge
with the same habits as them – overcomplicated methodologies that lead to precisely wrong instead
of roughly right answers.

- The Quant Stack [link] - Quantifiable Edges [link]

- The Quant Playbook [link] - Quant Insti [link]
- HangukQuant [link] - Milton FMR [link]
- VertoxQuant [link] - Quant Start [link]
- Diary of a Quant [link] - Chase The Devil [link]
- Low Latency Trading Insights [link] - Clarus FT [link]
- TaiwanQuant [link] - Quants R Us [link]
- Algo Trading & AI [link] - Quantlib [link]
- zero Cost Abstractions [link] - Implementing Quantlib [link]
- EntropyChase [link] - HPC Quantlib [link]
- Liquidity Goblin [link] - Oxford Strat [link]
- Quantocracy [link] - r/quant on reddit
- Ed West [link] - Nanex [link]
- Quant Trading Rules [link] - Parasec [link]
- Alpha Architect [link] - Ricky Han [link]
- Quantpedia [link] - Quant Stack Exchange [link]
- OSM [link] - Max Dama (really good) [link]
- Portfolio Optimizer [link]
- Mark Best [link]
- Dekalog Blog [link-1] [link-2]
- Finomial [link]
- Alvarez Quant Trading [link]
- Allocate Smartly [link]
- Robot Wealth [link]
章
23 要阅读的博客

博客通常是寻找新颖想法和信息的好地方，相比之下，这些想法和信息非常实用
到学术文献。如果你只阅读论文，你会陷入学术困境并脱颖而出
与他们有着相同的习惯——过于复杂的方法反而导致了完全错误

大致正确的答案。

- 量化堆栈 [链接] - 可量化边缘 [链接]

- 量化手册 [链接] - Quant Insti [链接]
- HangukQuant [链接] - 米尔顿 FMR [链接]
- VertoxQuant [链接] - 量化起点 [链接]
- 量化日记 [链接] - 追逐魔鬼 [link]
- 低延迟交易洞察 [link] - Clarus FT [链接]
- TaiwanQuant [链接] - 量化 R Us [链接]
- 算法交易与人工智能 [链接] - Quantlib [链接]
- 零成本抽象 [链接] - 实现 Quantlib [链接]
- EntropyChase [链接] - HPC Quantlib [链接]
- 流动性 Goblin [链接] - 牛津策略 [链接]
- Quantocracy [链接] - r/quant 的 Reddit 帐号
- 埃德·韦斯特 [链接] - Nanex [链接]
- 量化交易规则 [link] - Parasec [链接]
- Alpha 架构师 [链接] - Ricky Han [链接]
- Quantpedia [链接] - Quant Stack Exchange [链接]
- OSM [链接] - Max Dama （真的很好） [链接]
- 投资组合优化器 [链接]
- 马克·贝斯特 [链接]
- Dekalog 博客 [link-1] [link-2]
- Finomial [链接]
- Alvarez 量化交易 [链接]
- 智能分配 [link]
- 机器人财富 [链接]
Chapter 24 Twitter Accounts To Follow

Twitter is one of the best resources out the for information, so short of my own handle @
quant_arb, I figured I would list off some accounts that I feel are worth following.

There will be a lot of accounts below, there is no particular order and my inclusion is in no way
a recommendation of their content as high quality. It’s a rough guess that based on what I’ve
seen (which may be a couple tweets, it may be almost all of their tweets) that it’s worth staying
tuned into. There are people on this list I think sometimes produce content that isn’t the best,
but they are included because they have produced great content on other occasions.

To me being worth following simply means there is a reasonable expectation they may provide
some value to your feed at some point in the future. That said, many of these consistently
output bangers. But yes, some of these accounts may be LARPs so please diversify who you
listen to for there is no true messiah.

And yes, there are a lot of accounts, but I’m sure the algorithm will filter out the bad ones for
you regardless. It’s a busy list, and I’m sure a couple will be less than useful, but many are great!

1. Vertox_DF 13. Oxbquant 25. LilQwantx BT

2. Ninjaquant_ 14. PtrPomorski 26. GryptoGoon
3. Beatzx BT 15. MoonDevOnYT 27. QuantFiction
4. Gumby_arc 16. 0xLoris 28. Idro___
5. Dub0x3A 17. Gametheorizing 29. Predict_addict
6. stalequant 18. Quantseeker 30. ScottPh77711570
7. LiquidityGoblin 19. Globalflows 31. OnlyDeFiGuy
8. 0xfdf 20. QuantumHoneybee 32. Larpcapitalwc
9. Systematicls 21. CMTDIntern 33. Citrini7
10. __paleologo 22. Mevintern 34. Super_macro
11. SeattleISmith 23. toxic_intern 35. EntropyChase
12. TaiwanQuant 24. TimMeggs 36. GoblinCap_
章
24 要关注的 Twitter 帐户

Twitter 是最好的信息资源之一，所以除了我自己的用户名 @ quant_arb，我想我会列出一些我认为值

得关注的帐户。
下面会有很多账户，没有特定的顺序，我的加入绝不是推荐他们的内容是高质量的。根据我所看到的
（可能是几条推文，也可能是几乎所有的推文），我们粗略地猜测，值得继续关注。我认为这个名单上
的有些人有时会制作出不是最好的内容，但他们被包括在内，因为他们在其他场合制作了很棒的内容。
对我来说，值得关注仅仅意味着有合理的预期，它们可能会在未来的某个时候为您的提要提供一些价
值。也就是说，其中许多始终如一地输出爆炸。但是，是的，其中一些账户可能是 LARPs，所以请多
样化你听的人，因为没有真正的救世主。
是的，有很多帐户，但我相信算法无论如何都会为您过滤掉不良帐户。这是一个繁忙的清单，我敢肯定
有几个会没什么用，但很多都很棒！

1. Vertox_DF 13. Oxbquant 公司 25. LilQwantxBT

2. Ninjaquant_ 14. PtrPomorski 26. GryptoGoon 公司
3. BeatzxBT 15. MoonDevOnYT 27. 量子小说
4. Gumby_arc 16. 0x洛里斯 28. Idro___
5. Dub0x3A 17. 博弈论 29. Predict_addict
6. 僵局 18. Quantseeker 系列 30. 斯科特Ph77711570
7. 流动性地精 19. 全球流 31. 只有 DeFiGuy
8. 0xfdf 20. 量子蜜蜂 32. 拉普资本WC
9. 系统性 21. CMTD tern 33. 黄霉素7
10. __paleologo 22. 梅文特恩 34. 超级宏
11. SeattleISmith 23. toxic_intern 35. 熵追逐
12. 台湾量化 24. 蒂姆梅格斯 36. GoblinCap_
 QUANT ROADMAP

37. OxLouisT 73. GautierMarti1 109. HariPKrishnan2

38. Yenwod_ 74. Hughesanalytics 110. FadingRallies
39. Quantaraum 75. Eigensteve 111. Macropotamus
40. Nik_algo 76. IDrawCharts 112. Conejocapital
41. KrisMachowski 77. Technicallyrain 113. Dirty_swan
42. BlackSwan_ptf 78. Bookdepth 114. Choffstein
43. DegenQuant 79. Quantpedia 115. VolatilityVIx
44. DrApeLincoln 80. cryptoquantHQ 116. QuantVol
45. CheifGolem 81. nadogoyard 117. Volmagorov
46. InvestingIdiocy 82. weaponizedFOMO 118. Salr_nyc
47. HighFreqAsuka 83. folkvangtrading 119. Krisabdelmessih
48. Quantymacro 84. bahamastrading 120. Therobotjames
49. Phoenixstealthy 85. sisSoftware 121. FinancePirates
50. EquidityCapital 86. 0xLightcycle 122. Timebargains
51. NikitaAFadeev 87. 0xdoug 123. QuantSymplectic
52. TradingTrotter 88. Robertmartin88 124. CapitalParadox
53. Benjaminwfelix 89. Wifeyalpha 125. Macrocephalopod
54. Valkmit 90. Macroalf 126. ShedCapitalLLC
55. OrthogonalAlpha 91. Mikeharrisny 127. Nope_its_lily
56. Sasuke___420 92. Carlcarrie 128. Quantkaks
57. Just_a_stream 93. NotoriousLOB 129. Lightspringfox
58. Worstcontrarian 94. HangukQuant 130. Pyquantnews
59. 0xTurdleTrader 95. Minimalexcess 131. Christinaqi
60. PenguinsTrading 96. FabiusMercurius 132. goshawktrades
61. Josusanmartin 97. Macro_synergy
62. Dfauchier 98. EmanualDerman
63. Macrocharts 99. Quantian1
64. Louis_hyper 100. Ryxcommar
65. Perfiliev 101. Quantrob
66. Ltrd_ 102. Shubham_quant
67. Mikevanrossum 103. QTRResearch
68. AgustinLebron3 104. Nntaleb
69. Crypto_hades 105. Squeezemetrics
70. Mgnr_io 106. SinclairEuan
71. Alex_bcg 107. Quantocracy
72. Robot_wealth 108. Ksidiii

60
 量化路线图

37. 奥克斯路易斯 73. 戈蒂埃马尔蒂1 109. 哈里PKrishnan2

38. Yenwod_ 74. 休斯分析 110. FadingRallies
39. Quantaraum 公司 75. Eigensteve 111. 巨蟠
40. Nik_algo 76. IDrawCharts 112. 康乔资本
41. 克里斯·马卓斯基 77. 技术上 rain 113. Dirty_swan
42. BlackSwan_ptf 78. 书本深度 114. 乔夫斯坦
43. DegenQuant 公司 79. 量化百科 115. 波动率VIx
44. DrApeLincoln 博士 80. cryptoquantHQ 116. 量子卷
45. CheifGolem （英语） 81. 纳多戈亚德 117. 沃尔马戈罗夫
46. 投资白痴 82. 武器化的 FOMO 118. Salr_nyc
47. HighFreqAsuka 83. FolkVangTrading 公司 119. 克里斯萨卜德尔梅西赫
48. Quanty宏 84. 巴哈马贸易 120. 机器人詹姆斯
49. 凤凰隐身 85. sis软件 121. 金融海盗
50. EquidityCapital 公司 86. 0x光循环 122. 时间讨价还价
51. 尼基塔·阿法德耶夫 87. 0xdoug 123. QuantSymplectic
52. 贸易Trotter 88. 罗伯特马丁88 124. 资本悖论
53. 本杰明费利克斯 89. 妻子阿尔法 125. 头足类
54. 瓦尔克米特 90. Macroalf 126. 谢德资本有限责任公司
55. OrthogonalAlpha （正交阿尔法）
91. 迈克哈里斯尼 127. Nope_its_lily
56. Sasuke___420 92. 卡尔卡丽 128. Quantkaks
57. Just_a_stream 93. 臭名昭著的LOB 129. 光泉狐
58. Worst contrarian （最差逆向）
94. 汉库量化 130. Pyquant新闻
59. 0xTurdle交易者 95. 最小超额 131. 克里斯蒂娜奇
60. 企鹅交易 96. 法比乌斯·莫丘里乌斯 132. GoshawkTrades 公司
61. Josusanmartin 97. Macro_synergy
62. 德福希尔 98. EmanualDerman
63. 宏图 99. 量子点 1
64. Louis_hyper 100. Ryxcommar 公司
65. Perfiliev 101. Quantrob 公司
66. Ltrd_ 102. Shubham_quant
67. 迈克万罗森 103. QTR搜索
68. 阿古斯丁勒布朗3 104. 恩塔勒布
69. Crypto_hades 105. Squeezemetrics 指标
70. Mgnr_io 106. 辛克莱尤安
71. Alex_bcg 107. 量子统治
72. Robot_wealth 108. 克西德

60
Chapter 25 How To Learn This Material

In my view, this chapter is as important as any other chapter in this document. It is the multiplier
that will be applied to everything you learn. If you have a terrible method of learning, then it will
be 0. I will not be talking about bullshit focus tricks or giving a ted talk. Just talking about what
is useful and what is not.

Firstly, you won’t read all of this content. There’s no way and even if you do manage it then you
have not spent your time well. You should be constantly filtering down, finding what’s most
relevant to you, and most importantly SKIMMING. Most chapters make their points quickly,
same with most books. A lot of books – especially non-textbook ones, make a couple of points
and then spend the rest of the book rambling. Go read the black swan for an example of a petit
philosopher with a couple great points nestled in between there.

When it comes to filtering, you can often get the PDF online, through various means. Avoid
libgen for free PDFs and make sure not to accidentally go to sci-hub (any of it’s endings, .se,
.st, .ru, etc) for free papers. Skimming PDFs and the contents is a nice and fast way to get an
idea of if a book is relevant to you or not.

Now, the most important part – what you do with this knowledge. You should implement it,
talk about it, write your notes about it, hey, maybe even tweet about it. Any way you can find to
ensure that this information doesn’t go in one ear and out the other.

A lot of material (papers, textbooks, blogs) are useless, and worse they’re often not accurate.
You need to be implementing these things and seeing if they really would make money in
production. Live PNL, calculated of your own doing, and not an overfit backtest they’ve sneakily
presented to you, is the only way to truly judge a strategy, but you can at least do your own
research.

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25 如何学习此材料

在我看来，本章与本文档中的任何其他章节一样重要。它是将应用于您学习的所有内容的乘数。如果你
有一个糟糕的学习方法，那么它将是 0。我不会谈论狗屁的专注技巧或发表 TED 演讲。只是谈论什么
是有用的，什么是无用的。
首先，您不会阅读所有这些内容。没有办法，即使你做到了，那你也没有很好地度过你的时间。你应该
不断地筛选，找到与你最相关的内容，最重要的是浏览。大多数章节都很快表达了他们的观点，大多数
书籍也是如此。很多书——尤其是非教科书的书，只提出了几个观点，然后把书的其余部分花在了漫
无边际上。去读一读黑天鹅，看看一个小哲学家的例子，中间有几个很好的观点。
在筛选方面，您通常可以通过各种方式在线获取 PDF。避免使用 libgen 获取免费 PDF，并确保不要意
外地转到 sci-hub（任何结尾、.se、.st、.ru 等）获取免费论文。浏览 PDF 和内容是了解一本书是否
与您相关的好方法。
现在，最重要的部分 – 您如何使用这些知识。你应该实现它，谈论它，写下你的笔记，嘿，甚至可能
在推特上发布它。你能找到的任何方法来确保这些信息不会进一只耳朵，另一只耳朵出来。
很多材料（论文、教科书、博客）都是无用的，更糟糕的是，它们往往不准确。你需要实现这些东西，
看看它们是否真的会在生产中赚钱。实时 PNL，由您自己计算，而不是他们偷偷向您展示的过度拟合
回测，是真正判断策略的唯一方法，但您至少可以自己进行研究。

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 QUANT ROADMAP

Not only will you build practical research skills (which frankly toying around with Pandas and
knowing your way about the research process is half the knowledge anyways), you’ll learn the
right knowledge by building your intuition for what actually looks valuable to you.

I cannot stress this enough – if you do not approach everything with a goal of making PNL as
fast as possible, then you will get nowhere. Even Citadel asks this of it’s researchers. How can
I make money today? @TheRobotJames talks about this a lot, and has many great intuitive
explainers on general advice, but my advice to you is to follow the money. Aiming to make real
PNL keeps you away from nerd holes. It keeps you from spending months building a neural
network only to realize it doesn’t work. You should’ve figured this out days ago, but you decided
to spend 3 weeks building a fast backtester for it in Rust first that only really works with this
algorithm specifically.

Avoid building too much tooling or vanity projects. I have had this conversation with many
senior quants and we all complain about the same thing junior researchers do. They all want
to build things! Stop trying to build a pretty dashboard, cool backtester, or any of this stuff
unless you have needed it multiple times in a row and know for certain that given the amount
it’s *already* happened it’s worth implementing. DO NOT BUILD UNLESS IT IS NECESSARY. So
many researchers get into this terrible hole of wanting to build things and doing it on company
time. If you want to toy around with Rust, but honestly should be using Python – go build
in Python and build the cool Rust project on your own time. This is maybe a professional
complaint in some ways, but it’s good advice. Those ideas that sound fun to work on aren’t
always what you should be working on. Sometimes it’s grinding out simple CTA strategies and
mastering plain old regressions.

The glitzy neural networks and machine learning projects fall under this as well. If you are well
and truly excited about a project – whilst this will make you very motivated and I don’t dare to
discount that, you need to also think about whether this is what you *should* be working on or
is some interesting fun little model / project. Is it complicated or involves building things that
don’t immediately make money… especially if you aren’t a dev? If yes, maybe reconsider.

Also, nothing has to be read in full. I don’t read anything in full – certainly not papers, and don’t
tick anything off as read. You’ll forget great wisdoms overtime or perhaps you read it at the
start of your career and didn’t fully appreciate some of the advice because it was boring, and
about linear regressions (and all you wanted to hear about was cool fancy models). Re-reading

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 量化路线图

您不仅会培养实用的研究技能（坦率地说，玩弄 Pandas 并了解研究过程的方式无论如何都是知识的一

半），您还将通过建立对真正对您来说有价值的东西的直觉来学习正确的知识。
我怎么强调都不为过——如果你不以尽快实现 PNL 为目标来处理所有事情，那么你将一事无成。甚至
Citadel 也向它的研究人员询问了这一点。我今天怎么赚钱？@TheRobotJames 经常谈论这个问题，
并且有很多关于一般建议的很棒的直观解释，但我给你的建议是跟着钱走。旨在制作真正的 PNL 让您
远离书的漏洞。它使您不必花费数月时间构建神经网络，却发现它不起作用。你应该在几天前就弄清楚
了，但你决定先花 3 周时间在 Rust 中为它构建一个快速的回溯测试器，它只真正适用于这个算法。
避免构建过多的工具或虚荣项目。我与许多高级量化分析师进行了这样的对话，我们都抱怨初级研究人
员所做的同样的事情。他们都想建造东西！停止尝试构建一个漂亮的仪表板、很酷的回溯测试器或任何
这些东西，除非你连续多次需要它，并且确定考虑到它*已经*发生的数量，它是值得实施的。除非必
要，否则不要构建。如此多的研究人员陷入了这个可怕的困境，他们想要构建东西并在公司时间做这些
事情。如果你想玩弄 Rust，但老实说应该使用 Python – 去 Python 构建，并在你自己的时间构建很
酷的 Rust 项目。从某些方面来说，这可能是一个专业的抱怨，但这是很好的建议。那些听起来很有趣
的想法并不总是你应该努力的。有时是磨练简单的 CTA 策略并掌握简单的旧回归。
炫目的神经网络和机器学习项目也属于这种情况。如果你对一个项目感到非常兴奋——虽然这会让你
非常有动力，我不敢轻视这一点，但你还需要考虑这是你*应该*从事的工作，还是一些有趣有趣的小模
型/项目。它是否复杂或涉及构建不会立即赚钱的东西......特别是如果您不是开发人员？如果是，也许可
以重新考虑。
此外，无需完整阅读任何内容。我不会完整地阅读任何内容——当然不会阅读论文，也不会在阅读时
勾选任何内容。随着时间的推移，你会忘记伟大的智慧，或者你可能在职业生涯开始时读过它，但没有
完全欣赏其中的一些建议，因为它很无聊，而且是关于线性回归的（你只想听的都是很酷的花哨模
型）。重读

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 OP T I M I z AT I O N (D E T E R M I N I S T I C & S TO C H A S T I C)

what you mentally have ticked off as having read is not always such a bad idea, or re-skimming
rather.

I’ve seen fancy models work, but from my own experiences – they take a damn long while of
mastering that specific niche to really start making money with. Took me about 2 years with
pairs trading of non-stop hammering out hundreds of notebooks (yes, hundreds and hundreds)
before I felt I truly had some theories that gave me a leg up on people in terms of understanding
the space.

Don’t write notes for the sake of notes. If you find yourself looking for notes to write, and
not writing them out because you are truly inspired by what you have read then don’t bother.
You won’t remember it after the fact, and you certainly won’t be doing much more than copy
pasting. If you read something, think oh wow that’s really interesting, and then write the notes
– especially in absence of the actual material next to you (so it’s just your memory of the idea)
then those notes start to be useful.

I write my blog articles and tweets often from ideas I’ve had in conversations, the work I’m doing,
the material I’ve read, and even day to day inspirations. They don’t come from reading chapter
4 of a textbook and regurgitating it because there’s nothing of value there – especially not to
you and for your own thought development. Notes must come from your own interpretation
and understanding of the material and not from blatant copying of it- that is the only time
notetaking shines as a source of valuable learning.

Some take notes and re-read them, I sometimes re-read my notes, but I do most of my learning
when I actually write them instead because it forces me to neatly organize my ideas. It’s a great
channel for cleaning up your understanding on the topic. Nowadays with ChatGPT, there’s no
use in summarizing texts in your notes, the AI can do that for you.

When you catch yourself tying concepts together in ways that weren’t described in the material
and making those connections, that’s when your note taking is working. Same with the research.
When you have an idea, and you start pulling on your knowledge bank of “hey I saw this effect
in commodities, I wonder if it works in crypto”, and then “I think funding rates are a big factor in
crypto… hey what if instead of using volume + momentum like in commodities, I used funding
rates and momentum”, and suddenly you are making your own strategies. They may suck – in
fact, they usually do (you won’t realize this at the start though because you’ll be too busy

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 O P T I M I z AT I O N （D E T E R M I N I S T I C & S TO C H A S T I C）

你在心里认为已经阅读的东西并不总是一个坏主意，或者更确切地说是重新浏览。
我见过花哨的模型奏效，但从我自己的经验来看——他们需要很长时间才能掌握特定的利基市场才能
真正开始赚钱。我花了大约 2 年的时间进行结对交易，不停地敲打出数百个笔记本（是的，成百上千
个），然后我觉得我真的有一些理论，这些理论让我在理解这个领域方面领先于人们。
不要为了笔记而写笔记。如果您发现自己正在寻找要写的笔记，而不是写下来，因为您真的受到了所读
内容的启发，那么请不要打扰。事后你不会记住它，而且你肯定不会做更多的事情，只是复制粘贴。如
果你读了什么东西，觉得哦哇这真的很有趣，然后写下笔记——尤其是在你旁边没有实际材料的情况
下（所以这只是你对想法的记忆），那么这些笔记就会开始有用。
我经常根据我在对话中的想法、我正在做的工作、我阅读的材料，甚至是日常灵感来写我的博客文章和
推文。他们不是通过阅读教科书的第 4 章并反刍它而来的，因为那里没有什么有价值的东西——尤其
是对你和你自己的思想发展来说。笔记必须来自您自己对材料的解释和理解，而不是公然复制它——
这是记笔记作为宝贵学习来源的唯一机会。
有些人做笔记并重新阅读它们，我有时会重新阅读我的笔记，但我的大部分学习都是在我真正写下它们
时进行的，因为它迫使我整齐地组织我的想法。这是清理您对该主题的理解的绝佳渠道。如今有了
ChatGPT，总结笔记中的文本是没有用的，AI 可以为你做这件事。
当你发现自己以材料中没有描述的方式将概念联系在一起并建立这些联系时，你的笔记就开始发挥作用
了。研究也是如此。当你有一个想法，你开始利用你的知识库，“嘿，我在大宗商品中看到了这种效
果，我想知道它是否适用于加密货币”，然后“我认为资金利率是加密货币的一个重要因素......嘿，如
果我没有像在大宗商品中使用 Volume + Momentum 那样使用交易量 + 动量，而是使用了 Funding
Rates 和 Momentum“，突然间你开始制定自己的策略了。他们可能很糟糕——事实上，他们通常会
很糟糕（不过你一开始不会意识到这一点，因为你太忙了

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 QUANT ROADMAP

overfitting and looking ahead, but you’ll come around), but it’s a learning process, and as you
develop your theories and ideas of what works, you’ll eventually get there.

It’s been quite a long chapter, a text heavy one, but I think it’s important to distill what I’ve
learned for the next generation of quants and I hope this section will be as treasured as the rest
of the book because it’s as important in my view.

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 量化路线图

他们可能很糟糕——事实上过度拟合并展望未来，但你会回过头来），但这是一个学习过程，随着你
发展你的理论和有效的想法，你最终会到达那里。
这是相当长的一章，文字很重，但我认为为下一代量化分析师提炼我所学到的知识很重要，我希望这一
部分能像本书的其他部分一样受到珍视，因为在我看来它同样重要。

64
Chapter 26 Other Roadmaps

• Vertox’s Resource List

• Moontower’s Resource List (Best our there for options)
• Moontower’s Blogs & Online Writers
• Options Starter Pack
• QM’s Textbooks
• QuantGuide (Paid, but good for interview prep – there’s also plenty of textbooks for this
like Heard on The Street)

Old axioma papers are worth reading, if you can find them. Same with the old GS quant
publications. Sell-side research tends to be quite high quality if you get it from banks, but of
course the research is not easy to get a hold of.

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章
26 其他路线图

• Vertox 的资源列表
• Moontower 的资源列表（最好的选择）
• Moontower的博客和在线作家
• Options Starter Pack
• QM 的教科书
• QuantGuide（付费，但适合面试准备 - 也有很多这方面的教科书，比如 Heard on The
Street）

如果你能找到旧的 axioma 论文，它们值得一读。与旧的 GS 量化出版物相同。如果你从银行获得，卖

方研究往往质量相当高，但当然，研究并不容易掌握。

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 Credits

If you received this document, you probably have my contacts anyways so feel free to ask
questions, but I also have a few worthwhile threads on twitter at:

https://twitter.com/quant_arb

-Quant Arb / BBM

Big thanks to the rest of the editorial team:

Rayyy, BlueCrab, DegenQuant, & TKShadow

And to all of those who sent in their contributions!

 致谢

如果您收到了这份文件，您可能有我的联系方式，所以请随时提问，但我在 twitter 上也有一些有价值

的帖子：

https://twitter.com/quant_arb

-量化套利 / BBM

非常感谢编辑团队的其他成员：

Rayyy， BlueCrab， DegenQuant， & TKShadow

感谢所有投稿的人！