Mathematical Topics to Cover
1. Linear Algebra
o Vectors and Matrices
o Eigenvalues and Eigenvectors
o Singular Value Decomposition (SVD)
o Matrix Factorization (PCA for dimensionality reduction)
2. Probability & Statistics
o Descriptive Statistics (Mean, Median, Mode, Variance, Standard Deviation)
o Probability Distributions (Normal, Poisson, Log-normal, Student’s t-distribution)
o Bayes’ Theorem
o Central Limit Theorem
o Hypothesis Testing and Confidence Intervals
3. Calculus
o Differentiation (Gradient Descent for optimization)
o Partial Derivatives (Multivariate Optimization)
o Integral Calculus (Used in financial modelling)
o Convex Optimization (Portfolio Optimization)
4. Time Series Analysis
o Autoregression (AR), Moving Average (MA), ARMA, ARIMA
o Stationarity, Differencing, ACF, PACF
o GARCH models (for volatility prediction)
o Fourier and Wavelet Transforms
5. Stochastic Processes & Financial Mathematics
o Brownian Motion
o Geometric Brownian Motion (GBM)
o Monte Carlo Simulations (Risk Analysis)
o Black-Scholes Model (Options Pricing)
o Markov Chains (Market State Transitions)
6. Optimization Techniques
o Gradient Descent & Variants (Adam, RMSProp, AdaGrad)
o Genetic Algorithms & Simulated Annealing, Reinforcement Learning.
Python Concepts You Need to Learn
1. Core Python
o Data Structures (Lists, Tuples, Dictionaries, Sets)
o Loops & Functions
o Exception Handling
o Object-Oriented Programming (OOP)
2. Data Handling & Visualization
o Pandas (DataFrames, Time Series Analysis)
o NumPy (Matrix Operations, Linear Algebra)
o Matplotlib & Seaborn (Data Visualization)
o Plotly & Bokeh (Interactive Finance Charts)
3. Financial Data Analysis
o yfinance, Alpha Vantage, Quandl (Stock Market Data APIs)
o TA-Lib (Technical Indicators like RSI, MACD, Bollinger Bands)
o Statsmodels (Statistical Tests, Regression Analysis)
o Scipy.optimize (Portfolio Optimization)
o FRED API (Economic Indicators)
4. Machine Learning for Algo Trading
o Scikit-Learn (Regression, Classification, Clustering)
o XGBoost & LightGBM (Boosting for Financial Predictions)
o TensorFlow/PyTorch (Deep Learning)
o LSTMs & Transformers (Deep Time-Series Forecasting)
o Reinforcement Learning (Q-Learning, DDPG for trading strategies)
5. Algorithmic Trading Platforms
o Backtrader (Backtesting Strategies)
o Zipline (Quantitative Finance & Live Trading)
o QuantConnect (Cloud-Based Trading)
o Interactive Brokers API (Real-Time Execution)
Understand Market Microstructure & Trading Strategies
1. Market Basics
Order Types (Market, Limit, Stop-Loss)
Order Book Dynamics
Bid-Ask Spread, Liquidity & Slippage
Market Makers vs Retail Traders
2. Quantitative Trading Strategies
Statistical Arbitrage (Mean Reversion, Pairs Trading)
Momentum Trading (Moving Averages, MACD)
Trend Following (Bollinger Bands, Ichimoku Cloud)
Options Trading Strategies (Covered Calls, Iron Condors)
Sentiment Analysis (NLP on News & Twitter Data)
3. Risk Management & Portfolio Optimization
Sharpe Ratio & Sortino Ratio
Value at Risk (VaR)
Kelly Criterion (Optimal Bet Sizing)
Markowitz Portfolio Theory (Modern Portfolio Theory - MPT)
Black-Litterman Model for Asset Allocation
Develop and Back test Trading Algorithms
1. Data Collection
o Historical Stock Data (Yahoo Finance, Quandl, Alpha Vantage)
o Alternative Data (Google Trends, Sentiment Analysis)
2. Feature Engineering
o Creating Alpha Signals
o Factor Models (Fama-French, Momentum & Volatility Factors)
3. Model Training & Evaluation
o Supervised Learning (Predicting Price Movements)
o Unsupervised Learning (Detecting Anomalies & Regime Shifts)
o Reinforcement Learning (Training an AI Agent to Trade)
4. Backtesting & Performance Metrics
o Walk Forward Testing
o Out-of-Sample Validation
o Strategy Performance Metrics (Profit Factor, Drawdown, CAGR)
Deploy Live Trading Systems
1. Connecting to Brokers
o Interactive Brokers API (Python integration)
o Alpaca API (Commission-Free Trading)
2. Automating Trading Execution
o Streaming Data & Live Order Execution
o Handling Latency & Slippage
o Error Handling in Live Trading
3. Building a Trading Dashboard
o Flask/Django (For Web-Based Trading Dashboards)
o Streamlit/Dash (For Interactive Visualization)
Advanced Topics (HFT, Market Making, AI Trading Bots)
1. High-Frequency Trading (HFT)
o Market Microstructure (Latency Arbitrage)
o Co-location & Order Execution Speed
2. Deep Reinforcement Learning for Trading
o Policy Gradients
o PPO, DDPG, A3C, SAC for Automated Trading Agents
3. AI-Powered Market Predictions
o Transformers for Stock Price Prediction
o Graph Neural Networks (GNN) for Market Behavior
o Generative Models (GANs) for Synthetic Market Data
Learn from Real-World Projects
1. Build a Stock Price Predictor (LSTM/GRU with Historical Data)
2. Develop a Trading Strategy & Backtest It (Momentum/Mean Reversion)
3. Create an AI-Based Trading Bot (Using RL like PPO or DDPG)
4. Build a Sentiment Analysis Model (News & Twitter for Trading Signals)
5. Develop a Portfolio Optimizer (Using Modern Portfolio Theory)
Recommended Books & Resources
📘 Books
“Algorithmic Trading” by Ernest Chan
“Quantitative Trading” by Ernest Chan
“Advances in Financial Machine Learning” by Marcos López de Prado
“Machine Learning for Asset Management” by Emmanuel Jurczenko
🎓 Courses
Coursera: AI for Trading (Udacity)
QuantInsti’s EPAT (For Algorithmic Trading)
Princeton’s Financial Engineering (EdX)
🛠 GitHub Repositories
quantconnect/lean
Backtrader
fastai/time_series
