Resources

From Quant Fund Software Wiki

Contents 1 Portfolio Fundamentals 2 Python Tools We Use in the Class 3 Learning Python 4 Brokers for Paper Trading 5 Trading Contests 6 Historical Data

Portfolio Fundamentals

• Active Portfolio Management by Grinold & Kahn. Provides solid overview of fundamental quantitative approaches. Good reference for hedge fund managers. Used by Balch in his course. It can be found on GaTech Library as an ebook http://finder.library.gatech.edu/vufind/Record/651256 (click "Internet" area at the bottom of the page) 2010SPR8803.

• Applied Quantitative Methods for Trading and Investment (The Wiley Finance Series) (Hardcover) by Christian L. Dunis (Editor), Jason Laws (Editor), Patrick Naïm (Editor)

Python Tools We Use in the Class

• NumPy ndarrays
• NumPy examples
• pandas A library for time series analysis. video.

Learning Python

• Python language references:
  • Python Help Forum
  • Learning Python by Lutz.
  • www.poromenos.org: 10 minute tutorial.
  • diveintopython.org: longer tutorial.
  • ipython: IronPython?

• Possibly useful Python libraries.
  • PyProcessing a processing-like environment for doing graphics with Python.
  • mayavi for visualization of 3D stuff. Claims to be integrated with SciPy.
  • pybrain.org Machine Learning library from Technische Universität München. See a video.
  • pandas A library for time series analysis. video.

Brokers for Paper Trading

• thinkorswim paper money: Go through the registration process up until they ask for a social security number. You can stop at that point because you now have a valid login. You can login to paper money at page which is linked on the main login screen but isn't immediately obvious.

• Virtual Stock Exchange - MarketWatch: Although the interface is not as good as thinkorswim, it is a good alternative.

 Private Game for CS 8803 on MarketWatch: ID: GATECH8803 - Name: GATECH CS 8803 - Password: burdell

• CBOE Paper Trading: Decent paper trading account that allows you to trade options as well as basic equities.

Trading Contests

• Russian? Contest

Historical Data

• grainmarketresearch.com: 1 minute data on US stocks & ETFs. Not survivor bias free.
• Norgate: End of day data. Survivor bias free, but only updates once/day. Daily live feed.