├── Final_Project ├── SSRN-id299107.pdf ├── TSMOM_Slides.pdf ├── Time Series Momentum Factors Monthly.xlsx ├── Time series Moment Strategy-an-introduction-to-backtesting.pdf └── Uselful_website.txt ├── Final_Project_Time_Series_Momentum ├── Codes │ ├── .ipynb_checkpoints │ │ ├── MTH_9894_Time_Series_Momentum_Strategy-checkpoint.ipynb │ │ └── Time_Series_Momentum-checkpoint.ipynb │ ├── Get_data.py │ ├── Get_data.pyc │ ├── MTH_9894_Time_Series_Momentum_Strategy.ipynb │ ├── __init__.py │ ├── __init__.pyc │ ├── __pycache__ │ │ ├── Get_data.cpython-35.pyc │ │ └── __init__.cpython-35.pyc │ └── readme.md ├── Data │ ├── 10ybond.xlsx │ ├── 2ybond.xlsx │ ├── 30ybond.xlsx │ ├── 5ybond.xlsx │ ├── BarclaysBondIndex.xlsx │ ├── EURUSD.xlsx │ ├── F-F_Benchmark_Factors_Monthly.zip │ ├── F-F_Momentum_Factor.xlsx │ ├── F-F_Momentum_Factor_CSV.zip │ ├── F-F_Momentum_Factor_daily.CSV │ ├── F-F_Momentum_Factor_daily.xlsx │ ├── F-F_Research_Data_Factors.xlsx │ ├── F-F_Research_Data_Factors_daily.CSV │ ├── F-F_Research_Data_Factors_daily.xlsx │ ├── FTSE100.xlsx │ ├── GBPUSD.xlsx │ ├── GSCI.xlsx │ ├── JPYUSD.xlsx │ ├── JPYUSDBOE.xlsx │ ├── MSCI_world.xlsx │ ├── RiskFreeRate.csv │ ├── RiskFreeRate.xlsx │ ├── RiskFreeRate_LIBOR.xlsx │ ├── RiskFreeRate_Tbill.xlsx │ ├── SP500 copy.xlsx │ ├── SP500.xlsx │ ├── TOPIX.xlsx │ ├── USDONTD156N.csv │ ├── cotton.xlsx │ ├── crude.xlsx │ ├── gold.xlsx │ ├── natural_gas copy.xlsx │ ├── natural_gas.xlsx │ ├── silver.xlsx │ ├── sugar.xlsx │ ├── ~$30ybond.xlsx │ ├── ~$SP500 copy.xlsx │ └── ~$natural_gas copy.xlsx ├── Images │ ├── Aggregated Monthly Equity.png │ ├── Aggregated_Monthly_Equity.png │ ├── Aggregated_Monthly_Equity_sign.png │ ├── Dissecting Investment Strategies in the Cross Section and Time Series.pdf │ ├── Equity_Daily.png │ ├── FTSE100_daily.png │ ├── FTSE_monthly.png │ ├── GARCH_Aggregated_Monthly_Equity.png │ ├── GARCH_FTSE_Monthly_Equity.png │ ├── GARCH_SP500_Monthly_Equity.png │ ├── GARCH_TOPIX_Monthly_Equity.png │ ├── SP500_Monthly_Equity_sign.png │ ├── SP500_daily.png │ ├── SP500_monthly.png │ ├── SQ_Aggregated_Monthly_Equity.png │ ├── SQ_FTSE0_Monthly_Equity.png │ ├── SQ_FTSE_Monthly_Equity.png │ ├── SQ_SP500_Monthly_Equity.png │ ├── SQ_TOPIX_Monthly_Equity.png │ ├── TOPIX_daily.png │ ├── TOPIX_monthly.png │ ├── monthlag.PNG │ ├── returnovertime.PNG │ └── sharperatio.PNG ├── Images_validation │ ├── Aggregated_Monthly_Equity.png │ ├── Aggregated_Monthly_Equity_sign.png │ ├── Equity_Daily.png │ ├── FTSE100_daily.png │ ├── FTSE_monthly.png │ ├── GARCH_Aggregated_Monthly_Equity.png │ ├── GARCH_FTSE_Monthly_Equity.png │ ├── GARCH_SP500_Monthly_Equity.png │ ├── GARCH_TOPIX_Monthly_Equity.png │ ├── SP500_Monthly_Equity_sign.png │ ├── SP500_daily.png │ ├── SP500_monthly.png │ ├── SQ_Aggregated_Monthly_Equity.png │ ├── SQ_FTSE_Monthly_Equity.png │ ├── SQ_SP500_Monthly_Equity.png │ ├── SQ_TOPIX_Monthly_Equity.png │ ├── TOPIX_daily.png │ └── TOPIX_monthly.png └── README.md ├── Lecture_Notes ├── .ipynb_checkpoints │ ├── 9894_Systematic_Trading-checkpoint.ipynb │ └── pandas_unique_value-checkpoint.ipynb ├── 9894_Systematic_Trading.ipynb ├── ALGORITHMIC_TRADING.pdf ├── Baruch_lecture1_2017.pdf ├── Baruch_lecture2_2017.pdf ├── Baruch_lecture3_2016.pptx ├── Baruch_lecture4_2017.ppt ├── Baruch_lecture_5_2017.pdf ├── L2-Ref1.pdf ├── L2-Ref2.pdf ├── L2-Ref3.pdf ├── RandomMatrixTheoryandFinancialCorrelations.pdf ├── Reference_materials │ ├── (Zacks Series) Leonard Zacks-The Handbook of Equity Market Anomalies_ Translating Market Inefficiencies into Effective Investment Strategies-Wiley (2011).pdf │ ├── Edward E. Qian, Ronald H. Hua, Eric H. Sorensen-Quantitative Equity Portfolio Management_ Modern Techniques and Applications (Chapman & Hall CRC Financial Mathematics Series)-Chapman and Hall_CRC (200.pdf │ └── Joel Greenblatt-The Little Book That Still Beats the Market (Little Books. Big Profits)-Wiley (2010).pdf ├── pandas_unique_value.ipynb └── pandas_unique_values.png └── README.md /Final_Project/SSRN-id299107.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Final_Project/SSRN-id299107.pdf -------------------------------------------------------------------------------- /Final_Project/TSMOM_Slides.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Final_Project/TSMOM_Slides.pdf -------------------------------------------------------------------------------- /Final_Project/Time Series Momentum Factors Monthly.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Final_Project/Time Series Momentum Factors Monthly.xlsx 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-------------------------------------------------------------------------------- /Lecture_Notes/Reference_materials/(Zacks Series) Leonard Zacks-The Handbook of Equity Market Anomalies_ Translating Market Inefficiencies into Effective Investment Strategies-Wiley (2011).pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Lecture_Notes/Reference_materials/(Zacks Series) Leonard Zacks-The Handbook of Equity Market Anomalies_ Translating Market Inefficiencies into Effective Investment Strategies-Wiley (2011).pdf -------------------------------------------------------------------------------- /Lecture_Notes/Reference_materials/Edward E. Qian, Ronald H. Hua, Eric H. Sorensen-Quantitative Equity Portfolio Management_ Modern Techniques and Applications (Chapman & Hall CRC Financial Mathematics Series)-Chapman and Hall_CRC (200.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Lecture_Notes/Reference_materials/Edward E. Qian, Ronald H. Hua, Eric H. Sorensen-Quantitative Equity Portfolio Management_ Modern Techniques and Applications (Chapman & Hall CRC Financial Mathematics Series)-Chapman and Hall_CRC (200.pdf -------------------------------------------------------------------------------- /Lecture_Notes/Reference_materials/Joel Greenblatt-The Little Book That Still Beats the Market (Little Books. Big Profits)-Wiley (2010).pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/YuSunBaruch/MTH9894_Systematic_Trading-1/HEAD/Lecture_Notes/Reference_materials/Joel Greenblatt-The Little Book That Still Beats the Market (Little Books. 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