├── README.md ├── Term 1 ├── Projects │ ├── Project - 1 - Trading with Momentum │ │ ├── Readme.md │ │ ├── eod-quotemedia.csv │ │ ├── helper.py │ │ ├── project_1_momentum_trading.ipynb │ │ ├── project_helper.py │ │ ├── project_tests.py │ │ ├── requirements.txt │ │ └── tests.py │ ├── Project - 2 - Breakout Strategy │ │ ├── Readme.md │ │ ├── helper.py │ │ ├── project_2_breakout_strategy.ipynb │ │ ├── project_helper.py │ │ ├── project_tests.py │ │ ├── requirements.txt │ │ └── tests.py │ ├── Project - 3 - Smart Beta and Portfolio Optimization │ │ ├── helper.py │ │ ├── project_3_smart_beta_and_portfolio_optimization.ipynb │ │ ├── project_helper.py │ │ ├── project_tests.py │ │ ├── requirements.txt │ │ └── tests.py │ └── Project - 4 - Alpha Research and Factor Modelling │ │ ├── Projects.html │ │ ├── Readme.md │ │ ├── project_4_alpha_research_and_factor_modelling.ipynb │ │ ├── project_helper.py │ │ ├── project_tests.py │ │ ├── requirements.txt │ │ └── tests.py └── Theorey & Quizes │ ├── 01. Stock Prices │ ├── Quizzes │ │ ├── calculate_returns.ipynb │ │ ├── dtype.ipynb │ │ ├── momentum_based_signals_quiz.png │ │ ├── net_returns.csv │ │ ├── portfolio_quiz.png │ │ ├── resample_data.ipynb │ │ ├── statistical_returns.py │ │ ├── stock_data.ipynb │ │ ├── t_test_quiz.png │ │ └── top_and_bottom_performing.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. tick_data.png │ │ ├── 10. Rolling mean points.png │ │ ├── 11. Buy sell - 1.png │ │ ├── 12. Bollinger bands.png │ │ ├── 13. outliers.png │ │ ├── 14. Buy sell - 2.png │ │ ├── 15. Stock Return.png │ │ ├── 16. Log Returns.png │ │ ├── 17. Long Positions.png │ │ ├── 17. Shorting.png │ │ ├── 18. Cross sectional trading.png │ │ ├── 19. Trading Strategy.png │ │ ├── 2. OHLC.png │ │ ├── 20. t-test.png │ │ ├── 21. p value.png │ │ ├── 22. alpha.png │ │ ├── 3. OHLC Chart.png │ │ ├── 4. OHLC - Volume.png │ │ ├── 5. Intraday Volume.png │ │ ├── 6. Stock Split.png │ │ ├── 7. Stock drops.png │ │ ├── 8. Adjusted Prices.png │ │ └── 9. Rolling mean.png │ ├── 02. Quant Workflow │ ├── Readme.md │ └── images │ │ ├── 1. Quant workflow.png │ │ ├── 2. Single Asset Strategies.png │ │ ├── 3. Pairwise Strategies.png │ │ ├── 4. Cross-sectional strategies.png │ │ ├── 5. Anatomy of trading strategy.png │ │ ├── 6. Aplha defintion.png │ │ ├── 7. Alpha and alpha vector.png │ │ ├── 8. Combining alpha.png │ │ └── Readme.md │ ├── 03. Regression │ ├── Quizzes │ │ ├── regression.ipynb │ │ └── test_normality.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. BP Test.png │ │ ├── 2. hetero-homo scedasticity.png │ │ ├── 3. Data transformation.png │ │ ├── 4. Log transformation.png │ │ ├── 5. box-cox transformation.png │ │ ├── 6. linear_regression_1.png │ │ ├── 7. plot_linear_regression.png │ │ └── 9. quiz_linear_regression.png │ ├── 04. Time Series Modelling │ ├── Quizzes │ │ └── time-series-analysis-with-arma-and-arima.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. AR models.png │ │ ├── 2. Lag.png │ │ ├── 2. MA model.png │ │ ├── 3. ma 3.png │ │ ├── 4. ARMA.png │ │ ├── 5. ARMA_1_1.png │ │ ├── 6. ARIMA.png │ │ ├── 6. ARMA_2_2.png │ │ ├── 7. arima.png │ │ ├── random_walk_1.png │ │ └── random_walk_2.png │ ├── 05. Volatility │ ├── Quizzes │ │ ├── prices.csv │ │ ├── rolling_windows.ipynb │ │ └── volatility.py │ ├── Readme.md │ └── images │ │ ├── 1. volatility.png │ │ ├── 2. annualized volatility.png │ │ ├── 3. conversion.png │ │ ├── 4. rolling_window.png │ │ ├── 5. EWMA.png │ │ ├── 6. weighted log returns.png │ │ ├── 7. description_ewma.png │ │ ├── 8. ARCH.png │ │ └── 9. GARCH.png │ ├── 06. Pairs Trading and Mean Reversion │ ├── Quizzes │ │ └── pairs_candidates.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. pairs trading.png │ │ ├── 2. hedge ratio.png │ │ ├── 3. spread.png │ │ ├── 4. Cointegration.png │ │ └── readme.md │ ├── 07. Stocks, Indices and Funds │ ├── Images │ │ └── 1. TE formula.png │ ├── Quizzes │ │ ├── 1. NAV quiz.png │ │ ├── 2. holding_cash_quiz.png │ │ └── cumsum_and_cumprod.ipynb │ └── Readme.md │ ├── 08. ETFs │ └── Readme.md │ ├── 09. Portfolio Risks and Returns │ ├── Quizzes │ │ ├── 1. covariance_quiz.png │ │ ├── 2. CAPM.png │ │ └── m3l4_covariance.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. portfolio variance.png │ │ ├── 10. final sharpe ratio.png │ │ ├── 11. sharpe_ratio_year_to_day.png │ │ ├── 12. beta.png │ │ ├── 13. security market line.png │ │ ├── 2. covariance matrix.png │ │ ├── 2. covariance.png │ │ ├── 3. correlation_coeff.png │ │ ├── 4. portfolio return and variance.png │ │ ├── 4. when ro +1.png │ │ ├── 5. when ro -1.png │ │ ├── 6. efficient frontier.png │ │ ├── 7. capital_market_line.png │ │ ├── 8. division.png │ │ ├── 8. portfolio return.png │ │ ├── 9. Sharpe ratio.png │ │ ├── 9. risk_premium.png │ │ └── readme.md │ ├── 10. Portfolio Optimization │ ├── Quizzes │ │ ├── 1. lambda_quiz.png │ │ ├── 2. portfolio optimization with 2 stocks.png │ │ ├── Readme.md │ │ ├── m3l4_cvxpy_advanced.ipynb │ │ └── m3l4_cvxpy_basic.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. main equation.png │ │ ├── 1. no short selling.png │ │ ├── 2. constraint.png │ │ ├── 2. sector limits.png │ │ ├── 3. min acceptable retusn.png │ │ ├── 3. variance.png │ │ ├── 4. max portfolio return.png │ │ ├── 4. plot.png │ │ ├── 5. derivation.png │ │ ├── 6. maximize return and min risk.png │ │ ├── 6. mean.png │ │ ├── 7. min distance.png │ │ └── 8. lambda tradeoff.png │ ├── 11. Factors │ ├── Images │ │ ├── 1. factor_example.png │ │ ├── 2. Standardized factor.png │ │ ├── 3. standardizing factor example.png │ │ ├── 4. demean for dollar neutral.png │ │ ├── 5. dollar neural.png │ │ ├── 6. dollar neutral example.png │ │ ├── 7. leverage.png │ │ └── 8. leverage ratio.png │ ├── Quizzes │ │ ├── 1. factor_weights_quiz.png │ │ ├── 2. dollar neutral and leverage ratio quiz.png │ │ └── 3. zipline_coding_exercises.ipynb │ └── Readme.md │ ├── 12. Factor Models and Types of Factors │ ├── Images │ │ ├── 1. linear factor model.png │ │ ├── 10. operations on distributions of returns.png │ │ ├── 2. assumptions.png │ │ ├── 3. detailed_analayis_1.png │ │ ├── 4. detailed_analysis_2.png │ │ ├── 5. matrix representation.png │ │ ├── 6. covariance.png │ │ ├── 7. covariance and expected returns.png │ │ └── 9. covariance matrix of residuals.png │ └── Readme.md │ ├── 13. Risk Factor Models │ ├── Images │ │ ├── 1. risk factor model overview.png │ │ ├── 10. variance of 1 stock.png │ │ ├── 11. pairwise covariance of 2 stocks.png │ │ ├── 12. refactored variance of stocks.png │ │ ├── 13. final variance of 2 stocks.png │ │ ├── 14. stock 1 variance.png │ │ ├── 15. variance of stock 2.png │ │ ├── 16. covariance of stocks 1 and 2.png │ │ ├── 17. covariance matrix of assets.png │ │ ├── 18. portfolio variance.png │ │ ├── 19. portfolio variance via matrices.png │ │ ├── 2. volatility.png │ │ ├── 3. 1 stock 1 factor.png │ │ ├── 4. 1 stock 2 factors.png │ │ ├── 5. generalized factor return formula.png │ │ ├── 6. factor exposure of portfolio.png │ │ ├── 7. contributions of factors to portfolio return.png │ │ ├── 8. specific return.png │ │ ├── 9. factor model of portfolio varience.png │ │ └── readme.md │ ├── Quizzes │ │ ├── covariance_matrix_assets.ipynb │ │ ├── factor_model_asset_return.ipynb │ │ ├── factor_model_portfolio_return.ipynb │ │ ├── historical_variance.ipynb │ │ └── portfolio_variance.ipynb │ └── Readme.md │ ├── 14. Time Series and Cross Sectional Risk Models │ ├── Images │ │ ├── 1. market return.png │ │ ├── 10. matrix of factor returns.png │ │ ├── 11. factor exposure.png │ │ ├── 12. specific return.png │ │ ├── 13. estimating factor return.png │ │ ├── 14. Fundamental factors.png │ │ ├── 14. time series v:s cross sectional model.png │ │ ├── 15. specific return for cross-sectional model.png │ │ ├── 2. factor exposure.png │ │ ├── 3. specific return at time t.png │ │ ├── 4. SMB.png │ │ ├── 5. HML.png │ │ ├── 6. Famma French 3 factor model.png │ │ ├── 7. SMB and HML.png │ │ ├── 8. SMB and HML formula.png │ │ └── 9. Time series risk model.png │ └── Readme.md │ ├── 15. Alpha Factors │ ├── Images │ │ ├── 1. rank ic.png │ │ ├── 2. spearman coefficient.png │ │ ├── 3. fundamental law of active management.png │ │ ├── 4. quantile analysis.png │ │ ├── 5. ideal quantil analysis.png │ │ └── life of alpha │ │ │ ├── 1. propose alpha factor.png │ │ │ ├── 2. perform out of sample testing.png │ │ │ ├── 3. paper trading.png │ │ │ ├── 4. alpha to prod.png │ │ │ ├── 5. alpha weight small.png │ │ │ ├── 6. remove alpha.png │ │ │ ├── 7. arrow.png │ │ │ ├── 7. arrow_new.png │ │ │ └── readme.md │ ├── Quizzes │ │ ├── 1. quiz_1_scipy_rankdata.png │ │ ├── 2. quiz_2_rankorder.png │ │ ├── 3. quiz_3_z_score.png │ │ ├── 4. quiz_4_factor_returns.png │ │ ├── 5. quiz_5_get_clean_factor_and_forward_returns.png │ │ ├── 6. quiz_6_factor_information_coefficient.png │ │ ├── 7. quiz_7_mean_returns_by_quantile.png │ │ ├── clean_forward_returns.ipynb │ │ ├── factor_returns.ipynb │ │ ├── quantiles.ipynb │ │ ├── quiz_helper.py │ │ ├── rank.ipynb │ │ ├── rank_ic.ipynb │ │ ├── sector_neutral.ipynb │ │ ├── sharpe_ratio.ipynb │ │ ├── smoothing.ipynb │ │ ├── transfer_coefficient.ipynb │ │ ├── turnover.ipynb │ │ └── zscore.ipynb │ └── Readme.md │ └── 16. Alpha Factor Research Methods │ ├── Images │ ├── 1. trajectory.png │ ├── 10. skew momentum joint factor.png │ ├── 2. relative trajectory.png │ ├── 3. convex cocave formula.png │ ├── 4. graphs - 1.png │ ├── 5. graphs - 2.png │ ├── 6. gain and accelerate.png │ ├── 7. gain acc alpha.png │ ├── 8. skews.png │ └── 9. momentum and skew.png │ ├── Quizzes │ ├── 1. quiz_1_long_short_gain_acceleterate.png │ ├── overnight_returns.ipynb │ └── regression_against_time.ipynb │ ├── Readme.md │ └── Research Papers │ ├── Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.pdf │ ├── Expected Skewness and Momentum.pdf │ ├── Overnight Returns and Firm-Specific Investor Sentiment.pdf │ └── The Formation Process of Winners and Losers in Momentum Investing.pdf └── Term 2 ├── Projects ├── Project - 5 - NLP on Financial Statements │ ├── LoughranMcDonald_MasterDictionary_2018.csv │ ├── Readme.md │ ├── project_5_NLP_on_Financial_Statements.ipynb │ ├── project_helper.py │ ├── project_tests.py │ ├── requirements.txt │ └── tests.py ├── Project - 6 - Sentiment Analysis on Financial Statements │ ├── Readme.md │ └── project_6_starter.ipynb ├── Project - 7 - Combining Signals for Enhanced Alpha │ ├── Readme.md │ ├── project_7_Combining_Signals_for_Enhanced_Alpha.ipynb │ ├── project_helper.py │ ├── project_tests.py │ ├── requirements.txt │ └── tests.py └── Project - 8 - Backtesting │ ├── Readme.md │ ├── project_8_backtesting.ipynb │ └── requirements.txt └── Theorey & Quizzes ├── 01. Basics of NLP ├── 1. Naive Bayes Spam Classifier │ ├── Readme.md │ ├── images │ │ └── NLP Pipeline.png │ ├── spam_classifier │ │ ├── Bayesian_Inference.ipynb │ │ └── Readme.md │ └── text_pre_processing │ │ └── text_processing.ipynb ├── 2. Parts of Speech Tagging │ ├── HMM Tagger.ipynb │ ├── Readme.md │ └── images │ │ ├── 1. pos tagging.png │ │ ├── 2. look-up table.png │ │ ├── 3. Bigrams.png │ │ ├── 4. ET probabilities.png │ │ ├── 5. Emission Probability.png │ │ ├── 6. Hidden Markov Model.png │ │ ├── 7. Transition Probability.png │ │ └── 8. Sentence generation.png ├── 3. Feature Extraction & Embeddings │ ├── Readme.md │ └── images │ │ ├── 1. BOW.png │ │ ├── 10. Word2Vec.png │ │ ├── 11. Co-occurance probability.png │ │ ├── 12. Dot product.png │ │ ├── 2. text cleaning.png │ │ ├── 3. document-term matric.png │ │ ├── 3. matrix.png │ │ ├── 4. Corpus & Vocab.png │ │ ├── 5. TF-IDF.png │ │ ├── 6. TF-IDF Matrix.png │ │ ├── 7. One-Hot Encoding.png │ │ ├── 8. Word Embeddings.png │ │ ├── 9. Skip-gram model.png │ │ └── 9. Word Embeddings - 1.png └── 4. Topic Modelling │ ├── Latent_dirichlet_allocation.html │ ├── Latent_dirichlet_allocation.ipynb │ ├── Readme.md │ └── images │ ├── 1. C-BOW.png │ ├── 10. decimal beta distribution .png │ ├── 12. Dirichlet distribution .png │ ├── 13. 3D D Distributions.png │ ├── 14. Sample a topic-3.png │ ├── 15. sample a topic - 2.png │ ├── 16. sample a topic - 1.png │ ├── 16. sample a word-1.png │ ├── 17. sample a word -2.png │ ├── 18. sample a word - 3.png │ ├── 19. Topic model.png │ ├── 19. combining models.png │ ├── 2. Latent Variables.png │ ├── 20. final topic model.png │ ├── 3. Matrix multiplication .png │ ├── 4. Matrix multiplcation max.png │ ├── 5. BOW-Matrix.png │ ├── 6. document matrix.png │ ├── 6. topic matrix -2.png │ ├── 7. topic matrix - 1.png │ ├── 8. Beta Distribution .png │ └── 9. gamma function.png ├── 02. Regular Expressions and BeautifulSoup ├── Images │ ├── 1. charecters.png │ ├── 10. lookarounds.png │ ├── 11. char class ope.png │ ├── 12. ot.png │ ├── 2. quant char logic.png │ ├── 3. white space.png │ ├── 5. quant and char class.png │ ├── 5. quants.png │ ├── 6. anchors.png │ ├── 8. posix.png │ ├── 9. modifiers.png │ └── Readme.md ├── Quizzes │ ├── Readme.md │ ├── applying_regexes_10ks.ipynb │ ├── coding_exercise.ipynb │ ├── process_tweets.ipynb │ ├── requests_library.ipynb │ └── text_processing.ipynb └── Readme.md └── 03. Basic NLP Analysis └── Quizzes ├── Bag_of_Word_Exercises.ipynb ├── Data ├── AAPL_10k_2013.txt ├── AAPL_10k_2014.txt ├── AAPL_10k_2015.txt ├── AAPL_10k_2016.txt ├── AAPL_10k_2017.txt ├── EBAY_10k_2013.txt ├── EBAY_10k_2014.txt ├── EBAY_10k_2015.txt ├── EBAY_10k_2016.txt ├── EBAY_10k_2017.txt ├── SHLDQ_10k_2013.txt ├── SHLDQ_10k_2014.txt ├── SHLDQ_10k_2015.txt ├── SHLDQ_10k_2016.txt ├── SHLDQ_10k_2017.txt ├── alice.txt ├── negative_words.pickle ├── physics.txt └── positive_words.pickle ├── Readability_Exercises.ipynb ├── download10k.py └── syllable_count.py /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/StockGram/Intelligent-Quantitative-Trading/HEAD/README.md -------------------------------------------------------------------------------- /Term 1/Projects/Project - 1 - Trading with Momentum/Readme.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/StockGram/Intelligent-Quantitative-Trading/HEAD/Term 1/Projects/Project - 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