DL/RL/SL Strategies Research & Tools in Quantitative Finance

Awesome DL/RL/SL in Quantitative Finance

The main goal is collect those AI (RL / DL / SL / Evoluation / Genetic Algorithm) used in financial market. otherwise, we add Technology Analysis / Alpha Research / Arbitrage and other useful strategies tools & docs in quantitative finance market.

We collect all market include traditional market like stock/futures/currencies and crypto currency markets.

• Papers
• Courses
• Strategies
• Trading System
• Research tools
• Data Sources
• Tutorials & Docs
• Exchange API & Docs
• Other Tools

Papers

• THE THEORY OF SPECULATION L. BACHELIER 1900: The influences which determine the movements of the Stock Exchange are
• Brownian Motion in the Stock Market Osborne,1959 innumerable. Events past, present or even anticipated, often showing no apparent
• A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
• Reinforcement Learning for Trading 1994
• Dragon-Kings, Black Swans and the Prediction of Crises Didier Sornette: We develop the concept of “dragon-kings” corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems.

Courses

• Overview of Advanced Methods of Reinforcement Learning in Finance

Strategies & Research

AI

Traditional Markets

• trump2cash: A stock trading bot powered by Trump tweets http://trump2cash.biz
• Personae: 📈 Personae is a repo of implements and environment of Deep Reinforcement Learning & Supervised Learning for Quantitative Trading.
• Quantitative-Trading: 💸 Papers and Code Implements for Quantitative-Trading
• gym-trading: Environment for reinforcement-learning algorithmic trading models
• zenbrain: A framework for machine-learning bots
• DeepLearningNotes: Machine Learning in Quant analysis

Portfolio Management

• qtrader: Reinforcement Learning for Portfolio Management
• PGPortfolio: PGPortfolio: Policy Gradient Portfolio, the source code of "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

High Frequency Trading (HFT)

• SGX-Full-OrderBook-Tick-Data-Trading-Strategy: Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
• HFT_Bitcoin: Analysis of High Frequency Trading on Bitcoin exchanges

Crypto Currencies

• LSTM-Crypto-Price-Prediction: Predicting price trends in cryptomarkets using an lstm-RNN for the use of a trading bot
• tforce_btc_trader: TensorForce Bitcoin Trading Bot
• Tensorflow-NeuroEvolution-Trading-Bot: Using tensorflow to build a population of models that trade cyrpto and breed and mutate iteratively
• gekkoga: Genetic Algorithm for solving optimization of trading strategies using Gekko
• Gekko_ANN_Strategies: ANN trading strategies for the Gekko trading bot
• gekko-neuralnet: Neural network strategy for Gekko
• bitcoin_prediction: This is the code for "Bitcoin Prediction" by Siraj Raval on Youtube

TA

• Gekko-Bot-Resources: Gekko bot resources.
• gekko_tools: Gekko strategies, tools etc.
• gekko RSI_WR: Gekko RSI_WR strategies
• gekko HL: calculate down peak and trade on
• EthTradingAlgorithm: Ethereum trading algorithm using Python 3.5 and the library ZipLine
• gekko_trading_stuff: A dumping ground for my files I use with this awesome crypto currency trading platform
• forex.analytics: Node.js native library performing technical analysis over an OHLC dataset with use of genetic algorithm
• Bitcoin_MACD_Strategy: Bitcoin - MACD Crossover Trading Strategy Backtest
• crypto-signal: Automated Crypto Trading & Technical Analysis (TA) Bot for Bittrex, Binance, GDAX, and more! (250+ coins)
• Gekko-Strategies: Strategies to Gekko trading bot with backtests results and some useful tools.
• gekko-gannswing: Gann's Swing trade strategy for Gekko trade bot

Lottery & Gamble

• LotteryPredict: Use LSTM to predict lottery

Arbitrage

• ArbitrageBot: Arbitrage bot that currently works on bittrex & poloniex
• r2: R2 Bitcoin Arbitrager is an automatic arbitrage trading system powered by Node.js + TypeScript.
• cryptocurrency-arbitrage: A cryptocurrency arbitrage opportunity calculator. Over 800 currencies and 50 markets. https://cryptoworks.co
• bitcoin-arbitrage: Bitcoin arbitrage - opportunity detector
• blackbird: Blackbird Bitcoin Arbitrage: a long/short market-neutral strategy

Data Sources

Traditional Markets

• Tushare:

Crypto Currencies

• CryptoInscriber: 📈 A live cryptocurrency historical trade data blotter. Download live historical trade data from any cryptoexchange, be it for machine learning, backtesting/visualizing trading strategies or for Quantopian/Zipline.
• Gekko-Datasets: Gekko Trading Bot dataset dumps. Ready to use and download history files in SQLite format.

Research Tools

• JAQS: An open source quant strategies research platform.
• pyfolio: Portfolio and risk analytics in Python https://quantopian.github.io/pyfolio
• alphalens: Performance analysis of predictive (alpha) stock factors http://quantopian.github.io/alphalens
• empyrical: Common financial risk and performance metrics. Used by zipline and pyfolio. http://quantopian.github.io/empyrical
• !!![deprecated]!!: Trade as a fool
• zvt: zero vector trader(which base on fooltrader)

Trading System (Back Test & Live trading)

Traditional Market

[System]

• zipline: Zipline, a Pythonic Algorithmic Trading Library http://www.zipline.io/
• rqalpha: A extendable, replaceable Python algorithmic backtest && trading framework supporting multiple securities http://rqalpha.io
• backtrader: Python Backtesting library for trading strategies https://www.backtrader.com
• kungfu: Kungfu Master Trading System

[Combine & Rebuild]

• pylivetrader: Python live trade execution library with zipline interface.
• CoinMarketCapBacktesting: This project tests bt(http://pmorissette.github.io/bt) and Quantopian Zipline(https://github.com/quantopian/zipline) as backtesting frameworks for coin trading strategy.

Crypto Currencies

• gekko: A bitcoin trading bot written in node - https://gekko.wizb.it/
• zenbot: Zenbot is a command-line cryptocurrency trading bot using Node.js and MongoDB.
• bot18: Bot18 is a high-frequency cryptocurrency trading bot developed by Zenbot creator @carlos8f https://bot18.net/
• magic8bot: Magic8bot is a cryptocurrency trading bot using Node.js and MongoDB.
• catalyst: An Algorithmic Trading Library for Crypto-Assets in Python http://enigma.co
• QuantResearchDev: Quant Research dev & Traders open source project [BUILDING]
• MACD: Zenbot Macd Auto-Trader
• abu: A quant trading system base on python.http://www.abuquant.com/

Plugins

• easytrader: 提供银河/国金/华泰客户端/同花顺客户端/雪球的基金、股票自动程序化交易以及自动打新，支持跟踪 joinquant /ricequant 模拟交易 和 实盘雪球组合, 量化交易组件
• CoinMarketCapBacktesting: This project tests bt(http://pmorissette.github.io/bt) and Quantopian Zipline(https://github.com/quantopian/zipline) as backtesting frameworks for coin trading strategy.
• Gekko-BacktestTool: Batch backtest, import and strategy params optimalization for Gekko Trading Bot. With one command you will run any number of backtests.

TA (Technical Analysis) Lib

• pandas_talib: A Python Pandas implementation of technical analysis indicators
• finta: Common financial technical indicators implemented in Python-Pandas (70+ indicators).
• tulipnode: Tulip Node is the official node.js wrapper for Tulip Indicators. It provides over 100 technical analysis overlay and indicator functions. https://tulipindicators.org
• techan.js: A visual, technical analysis and charting (Candlestick, OHLC, indicators) library built on D3. http://techanjs.org/

Exchange API

• HuobiFeeder: Connect HUOBIPRO exchange, get market/historical data for ABAT trading platform backtest/analysis and live trading
• ctpwrapper: Shanghai future exchange CTP api

Tutorials

ML

• Reinforcement-learning-with-tensorflow: Simple Reinforcement learning tutorials
• Algorithm_Interview_Notes-Chinese: Algorithm Interview Notes Chinese
• Learning-Notes: 💡 Repo of learning notes in DRL and DL, theory, codes, models and notes maybe.
• Deep-Learning-World: 📡 Organized Resources for Deep Learning Researchers and Developers
• 100-Days-Of-ML-Code: 100 Days of ML Coding

Quant

AI Framework

• convnetjs: Deep Learning in Javascript. Train Convolutional Neural Networks (or ordinary ones) in your browser.
• TensorForce: TensorForce: A TensorFlow library for applied reinforcement learning
• gym: A toolkit for developing and comparing reinforcement learning algorithms. https://gym.openai.com/
• Pavlov.js: Reinforcement learning using Markov Decision Processes. For JS, written in C++.
• baselines: OpenAI Baselines: high-quality implementations of reinforcement learning algorithms
• prophet: Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.

Visualizing

• playground: Play with neural networks! http://playground.tensorflow.org
• netron: Visualizer for deep learning and machine learning models https://www.lutzroeder.com/ai

Articles

• The-Economist: The Economist 经济学人，持续更新
• nyu-mlif-notes: NYU machine learning in finance notes
• Using LSTMs to Turn Feelings Into Trades

Chinese

• Maury Osborne和三文鱼的故事
• 布朗运动、伊藤引理——细说Black-Scholes公式的前世今生（上篇）
• 布朗运动、伊藤引理——细说Black-Scholes公式的前世今生（下篇）
• 趋势策略小试牛刀，海龟交易体系的构建

Others

• zipline-tensorboard: TensorBoard as a Zipline dashboard http://jimgoo.com/tensorboard-and-zip…
• gekko-quasar-ui: An UI port for gekko trading bot using Quasar framework.

Other Resource

• awesome-quant: A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)
• awesome-quant-china: Quant resource in china
• awesome-rl