ryantjx-quant

Repository for quantitative research notes, readings and projects.

• ryantjx-quant
  • My Projects
  • Textbooks
    • Math
    • Statistics
      • Regression
      • Time Series Analysis
    • Finance
      • Derivatives
      • Risk Management
      • Quant
  • Books
    • Quantitative Finance
    • Random
  • Resources
  • Research Papers
    • Forecasting

My Projects

1. digital-asset-options-pricing

Textbooks

Math

• Multivariable Calculus, 9th Edition - James Stewart, Daniel K_ Clegg

Statistics

Regression

• Statistics 4th Edition - David Freedman, Robert Pisani, Roger Purves
• Statistical Models: Theory and Practice 2nd Edition - David A. Freedman
• Applied Regression Analysis, Third Edition - Draper, Norman R, Smith, Harry

Time Series Analysis

• Analysis of Financial Time Series, 3rd Edition - Ruey S. Tsay

Finance

Derivatives

• Options, Futures, and Other Derivatives 10th edition - John C. Hull
• Theory of Financial Risk and Derivative Pricing 2nd edition - Jean-Philippe Bouchaud, Saclay, Marc Potters
• Option Volatility and Pricing Advanced Trading Strategies 2nd Edition - Sheldon Natenberg

Risk Management

• Risk Management and Financial Institutions - John C. Hull

Quant

• Finding Alphas: A Quantitative Approach to Building Trading Strategies - Igor Tulchinsky

Books

Quantitative Finance

• My Life as a Quant: Reflections on Physics and Finance - Emanuel Derman
• Red-Blooded Risk: The Secret History of Wall Street - Aaron Brown
• Against the Gods: The Remarkable Story of Risk - Peter L. Bernstein
• The Education of a Speculator - Victor Niederhoffer
• The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution - Gregory Zuckerman
• A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market - Edward O. Thorp

Random

• The Power of Habit - Charles Duhigg
  • read this when I was 19. Changed how I view things that I do in life.
• The Art of Thinking Clearly - Rolf Dobelli
  • you see things differently after reading this.
• 12 Rules for Life - Jordan Peterson
  • some key values about life.

Resources

1. Moontower Substack - Ex-Options trader shares about trades, ideas and advice. A lovely consistent read, and constantly finding interesting nuggets of wisdom randomly.
   1. The best of “Options and Volatility”
   2. Career Advice
      1. Buy-Side Quant Job Advice - best thing is that its updated regularly.
2. MIT OpenCourseware - open source coursework. Amazing repository.
   1. Mathematics
      • 18.02 | Fall 2007 | Undergraduate | Multivariable Calculus
      • 18.303 | Fall 2014 | Undergraduate | Linear Partial Differential Equations: Analysis and Numerics
      • 18.655 | Spring 2016 | Graduate | Mathematical Statistics
   2. Statistics
      • 18.650 | Fall 2016 | Undergraduate | Statistics for Applications
      • 14.384 | Fall 2013 | Graduate | Time Series Analysis
      • 18.445 | Spring 2015 | Graduate | Introduction to Stochastic Processes
   3. Finance
      • 18.S096 | Fall 2013 | Undergraduate | Topics in Mathematics with Applications in Finance
   4. Machine Learning
      • 15.097 | Spring 2012 | Graduate | Prediction: Machine Learning and Statistics

Research Papers

Forecasting

1. Michael, Nikolas and Cucuringu, Mihai and Howison, Sam, Options-driven Volatility Forecasting (April 10, 2024)
2. Mc Greevy, James and Muguruza, Aitor and Issa, Zacharia and Salvi, Cristopher and Chan, Jonathan and Zuric, Zan, Detecting Multivariate Market Regimes Via Clustering Algorithms (March 13, 2024).