Chauncey Blog

Thinking will not overcome fear but action will.

High Frequency Trading 1：what is it

来自《我是高频交易工程师：知乎董可人自选集 (知乎「盐」系列)》

什么是高频交易 High Frequency Trading 所谓「高频」，并非一定是指成交的频率高，有些系统只是下委托单和修改、回撤委托单的频率高，真正的成交次数可能并不多，也一样可以叫做高频交易系统。 有一个非常官方的定义，来自美国证券交易委员会（SEC）。SEC 也很难给出明确的定义，最终的描述是基于 5 个特性： 使用超高速的复杂计算机系统下单 使用 co-locat...

Posted by Chauncey on June 10, 2020

Portfolio Optimization using cvxpy

Notes of AI for Trading, Project 2

CVXPY What is cvxpy? cvxpy is a Python package for solving convex optimization problems. It allows you to express the problem in a human-readable way, calls a solver, and unpacks the results. How...

Posted by Chauncey on May 26, 2020

Pairs Trading Strategies

Notes of AI for Trading, Project 2

Pairs Trading Pairs trading is a form of mean-reversion that has a distinct advantage of always being hedged against market movements. It is generally a high alpha strategy when backed up by som...

Posted by Chauncey on May 26, 2020

Implement Black-Scholes Model

OOP, with C++, Java and Python

Code Structure Class: Option Fileds: s, k, r, sigma, t Method: d1(), d2() derived-class: CallOption Method: blackScholesPrice() derived-class: Pu...

Posted by Chauncey on May 23, 2020

OOP & Java

3 Key characters of Object Oriented Programming with examples

封装 Encapsulation public class Person{ private String name; private int age; public int getAge(){ return age; } public String getName(){ return name; } pu...

Posted by Chauncey on May 23, 2020

Smart Beta Strategy

Notes of AI for Trading, Project 3

Overview Smart beta has a broad meaning, but we can say in practice that when we use the universe of stocks from an index, and then apply some weighting scheme other than market cap weighting, it ...

Posted by Chauncey on May 13, 2020

MySQL Review

check table & data syntax

Metadata Create Table create table employee ( person_name char(10), street char(10), city char(10), salary real ); Add Primary Key alter table employee add primary key(person_name); ...

Posted by Chauncey on May 13, 2020

Alpha Research Process & Breakout Strategy

Notes of AI for Trading, Project 2

In this blog, I will code and evaluate a “breakout” signal, and take this as an example to demonstrate the process of Alpha Reserch. Alpha Research Process It is important to understand where t...

Posted by Chauncey on May 13, 2020

Adjuste Price Based on Split & Dividend

Notes of AI for Trading, Project 1, Data Process

By making additional adjustments to corporate action, split and dividend, we ensure that all price movements on our charts are caused by pure market forces - that is, the forces that Technical Anal...

Posted by Chauncey on May 12, 2020

Resample Data & OHLC

Notes of AI for Trading, Project 1, Resample Data

New Data new an example series of days dates = pd.date_range('10/10/2018', periods=11, freq='D') close_prices = np.arange(len(dates)) close = pd.Series(close_prices, dates) close 2018-10-10 ...

Posted by Chauncey on May 11, 2020

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Black-Scholes Python DataFrame AI for Trading Pandas T-test Factor Alpha C++ OOP High Frequency Trading Notes Strategy
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