Tutorials

by Auquan

Auquan /Tutorials

Ipython notebooks for math and finance tutorials

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Tutorials

IPython notebooks for trading and math tutorials. You can view these here in github, or you can download and run locally on your computer. You will need to have the auquanToolbox installed to be able to run them.

For instructions on how to install the toolbox, visit here

Contents:

Trading Strategies:

  1. Mean Reversion Basics
  2. Momentum Strategy Basics
  3. How to measure momentum
  4. Model Selection Pitfalls
  5. Avoid Overfitting
  6. Pairs Trading
  7. Long-Short Strategies using Ranking

Math

  1. Random Variables
  2. Expected Value and Standard Deviation
  3. Covariance, Correlation and Confidence Intervals
  4. Stationarity, Integration and CoIntegration

Time Series Analysis

  1. Part 1 - Stationarity, Auto Correlation, White Noise and Random Walks
  2. Part 2 - AR and MA models
  3. Part 3 - ARMA and ARIMA models
  4. Part 4 - ARCH and GARCH models

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