blogs, wikis, and posts
- for fun
https://iamyourboon.com/(apparently there are some considerable controversies surrounding this "boon" online personality, mostly regarding them falsely claiming to have worked at a particular trading firm; previous and current handles include @iamyourboon, @frozenboon, @boonafterboon, and @boonbibimbap)- https://brainpickings.substack.com/
- https://bitsbytesandbets.substack.com/
- trading
- https://www.quantymacro.com/
- https://moontowermeta.com/
- https://junsupark2.wordpress.com/
- https://freeportlogbook.substack.com/
- https://qoppac.blogspot.com/
- https://yk4r2.github.io/
- https://databento.com/blog/engineering
- http://milkyeggs.com/crypto/what-happened-at-alameda-research/
- https://churningandburning.com/category/prop-trader-series
- https://jack-kin.github.io/posts/intro-to-multicast-market-data-feeds-of-us-electronic-exchanges/
- https://github.com/ericcccsliu/imc-prosperity-2
- https://voladynamics.com/pdf/Vola_SpotVolDynamicsDeltasSPX_LI_20200107.pdf
- https://www.aqr.com/Insights/Perspectives/Efficient-Frontier-Theory-for-the-Long-Run
- https://www.hudsonrivertrading.com/hrtbeat/trading-machine-learning/
- https://www.hudsonrivertrading.com/hrtbeat/modeling-equities-returns/
- engineering
- http://www.incompleteideas.net/IncIdeas/BitterLesson.html
- https://pvs-studio.com/en/blog/posts/cpp/1129/
- https://codeforces.com/blog/entry/18051
- https://voxely.net/blog/the-perfect-voxel-engine/
- https://lips.cs.princeton.edu/the-gumbel-max-trick-for-discrete-distributions/
- https://nicholas.carlini.com/writing/2024/why-i-attack.html
- https://www.kalzumeus.com/2012/01/23/salary-negotiation/
books
- Advanced Data Analysis from an Elementary Point of View
- An Introduction to Statistical Learning
- Beat the Market
- Convex Optimization
- Deep Learning
- The Elements of Statistical Learning (see Max Dama's review)
- Forecasting: Principles and Practice
- Real World OCaml
- Reinforcement Learning
- Trading Volatility
- The Truth about Linear Regression
notes
- The Double Dixie Cup Problem
- Elchanan Mossel's dice problem
- Games of imperfect recall
- Martingales and the Optional Stopping Theorem
- Max Dama on Automated Trading
- Mixing times of Markov chains
- Random Walks
- The Renewal Theorem
- Simple Random Walk
- A Short Sharpe Course
- Some Theorems on Quadratic Forms and Normal Variables
- Undergraduate Game Theory Lecture Notes
papers
- trading
- Algorithmic and high-frequency trading strategies: A literature review
- Can We Learn to Beat the Best Stock
- C++ Design Patterns for Low-latency Applications Including High-frequency Trading
- DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
- Double Descent Demystified
- Flow Toxicity and Liquidity in a High Frequency World
- Foundations and Trends in Optimization
- Hidden Markov Models Applied To Intraday Momentum Trading With Side Information
- Honey, I Shrunk the Sample Covariance Matrix
- Linear Model and Extensions
- Market Microstructure (Kyle models)
- Multi-Period Trading via Convex Optimization
- Noise
- 'P' vs 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance
- Risk-Constrained Kelly Gambling
- Strategy Type Annotated Bibliography
- Time series momentum
- Universal Portfolios
- not (immediately) trading
- Can de se choice be ex ante reasonable in games of imperfect recall? A complete analysis
- Defeating Dr. Evil with self-locating belief
- Dimension free ridge regression
- Failing to correctly aggregate signals
- How should we score athletes and candidates: geometric scoring rules
- Identifying the Deviator
- On the Interpretation of Decision Problems with Imperfect Recall
- Ryū: Fast Float-to-String Conversion
- Self-locating belief and the Sleeping Beauty problem
- TabM: Advancing Tabular Deep Learning with Parameter-Efficient Ensembling
- Understanding Iterative Combinatorial Auction Designs via Multi-Agent Reinforcement Learning