U LT I M AT E E D I T I O N

The full collection of quant trading resources to guide you along. Suitable
for beginners and professionals alike. Beginners may find the Essentials or
Comprehensive edition more appropriate as it is more distilled with a
stronger learning structure.

QUANT
ROADMAP
2024/2025

Author: Stat Arb

Twitter: quant_arb
 Copyright © 2024 by Stat Arb.

All rights reserved. No part of this book may be reproduced or transmitted in any form or by any means,
electronic or mechanical, including photocopying, recording, or by any information storage and retrieval
system, without permission in writing from the copyright owner.
 About The Roadmap

Quantitative trading has a reputation for being very hard to break into, and frankly that is true.
Even for professionals, it can be hard to tell what resources are worthwhile.

Thus, the quant roadmap serves as a resource of resources, designed to highlight all the
worthwhile materials at your disposal. With all this content available, it can be hard to know
where to start. Thus, there are 3 versions of the roadmap this year:

1. Ultimate Edition [link] [backup link]

2. Comprehensive Edition [link] [backup link]
3. Essential Edition [link] [backup link]

The ways they differ focus on the trade-off between being all encompassing and avoiding
overwhelming the reader. If you want a pure directory of every worthwhile resource, the Ultimate
Edition is for you. We have done our best to organize the sections, but there is not much in the
way of guidance on how to learn it.

Comprehensive aims to strike a careful balance between presenting the most important
resources directly to the reader, covering a variety of material, and guiding readers on how to
learn it.

Finally, for those who feel they have no idea where to start – the Essentials Edition is here for
you. This focuses heavily on how to learn the material and being as efficient as possible with
the learning (covering core topics as opposed to fringe ones).

The level of noise will also increase going from essential to ultimate. Resources in essentials
are maximally orthogonal and skip the more niche topics. Ultimate covers everything and many
resources may have significant overlap. That’s a balance that’s hard to strike, but readers will
find that discovering what works best for their own learning process is a fulfilling experience.

iii
 QUANT ROADMAP

Comprehensive also includes coverage of pre-requisites, so does Ultimate. If you know

background topics (mathematics, computer science, etc.) then feel free to jump to Essentials
and work up. Otherwise, consider starting with Comprehensive.

This is no substitute for real work and implementation. The ultimate edition especially focuses
on cataloguing the available resources, but you cannot learn them by brute force reading them.
They can only truly show you what you don’t know you don’t know. For true learning you must
engage with the material through conversation, implementation, and modification of your own.

iv
 About The Author

I work as a quantitative researcher in the digital assets space and have led teams across
HFT and MFT strategies. Both at my own hedge fund/ shop and at a larger one as head of
quantitative research. I’m no boomer with decades of experience, but I hope to say I’ve got
enough to be worth sharing with everyone.

Over the years I’ve used many usernames, the last edition of roadmap was under BBM and
referred to my old Twitter handle @TerribleQuant. I have since changed this because it hasn’t
done me well in any Twitter arguments funnily enough, but I can now be reached at @quant_arb
on Twitter & on Instagram (repost account).

I run www.algos.org which is my blog. It’s got tons of articles I’ve written which I think are a
great resource, some are free, others require subscription. Consider my blog the sponsor of
this edition of the guide. Here are some reader testimonials, I’ve removed names in case they
didn’t know they would be featured, and traders aren’t typically a fan of getting any personal
publicity:)

v
 CONTENTS

About The Roadmap. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii

About The Author . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v

Chapter 1: Machine Learning and Algorithmic Trading (Textbooks) . . . . . . . . . . . . . . 1

Chapter 2: Derivatives, and Volatility Trading (Textbooks) . . . . . . . . . . . . . . . . . . . 5
Chapter 3: YouTube Videos. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Chapter 4: Courses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Chapter 5: Podcasts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Chapter 6: Trading Platforms & Brokerage Firms. . . . . . . . . . . . . . . . . . . . . . . . 13
Chapter 7: Neural Networks / ML / Hype . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Chapter 8: Key Mathematics Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Chapter 9: Optimization (Deterministic & Stochastic). . . . . . . . . . . . . . . . . . . . . 20
Chapter 10: High Frequency Trading & Market Making . . . . . . . . . . . . . . . . . . . . . 23
Chapter 11: Additional Volatility/Derivatives Resources . . . . . . . . . . . . . . . . . . . . . 29
Chapter 12: Coding Languages Review and Resources. . . . . . . . . . . . . . . . . . . . . 31
Chapter 13: Projects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Chapter 14: Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Chapter 15: GitHub Repositories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Chapter 16: Light Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Chapter 17: Careers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Chapter 18: Arbitrage Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Chapter 19: Market Making Guide. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Chapter 20: Pairs Trading Guide. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Chapter 21: Seasonality Guide. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Chapter 22: Momentum Guide. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Chapter 23: Blogs To Read. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Chapter 24: Twitter Accounts To Follow. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Chapter 25: How To Learn This Material . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Chapter 26: Other Roadmaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Credits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Chapter 1 Machine Learning and Algorithmic
Trading (Textbooks)

Anything highlighted in red is optional since it is more of a repeat with extras of the textbook in
black before it. Depends on how hard/ fast you want to learn! You should do the first textbooks
then decide whether to do the Machine Learning Section or the Derivatives section first, but you
can do them simultaneously. They have crossovers and I love both areas although I am more
partial to the former, however they are very much independent and do not require knowledge
from the other to learn. All textbooks point to Amazon links, but make sure to avoid libgen
because it has them all for free.

Disclaimer:

I am not responsible if you commit piracy and I do not recommend you do this because it is
wrong, but I hear that some people find it useful for checking if it isn’t rubbish before buying.
Also buying the actual book means you get an impressive bookshelf/ some think it is better to
read, but I enjoy both PDF and physical. PDF purchased through the author of course…

1) “Quantitative Trading 2nd edition”

1)a “Algorithmic Trading”
1)b“Machine Trading”
2) Trading and Exchanges - This can be skipped if you are not interested in microstructure,
but regardless is quite helpful to know as it can make sure you avoid some silly mistakes.

Note: Quick note on Ernest Chan Books. They aren’t very meaty but are an easy intro so feel
free to skim through them. Especially 1) a & b (in red) are very basic to the point where unless
you are 100% new to quant they should be skipped.

ML (1/3) Machine Learning for Algorithmic Trading

1
 QUANT ROADMAP

There is a lot of overlap between machine learning… and mastering python… so start with one
of them then read finding alphas then read the other. That is why they are noted as either the
1st or 3rd book to read in terms of machine learning.

ML (1/3) Mastering Python for Finance

Go do this all before doing finding alphas if you “audit” the course then it is free to do them all
individually.

https://www.coursera.org/specializations/investment-management-python-machine-learning

• Note: This is a 4-part course so there is certainly a lot to go through, but I think it is one
of the best resources because it uses legacy models to build intuition, but unlike most
courses then goes on to show you some actual methods that are used and work in the
industry. Another BIG benefit is that it uses Python in Jupyter notebook which in my
opinion is the best way to do research. Orange is good as well and an R kernel in Jupyter
is also a nice alternative (more on that later).

ML (2) Finding Alphas: A Quantitative Approach (2nd edition)

ML (4) Advanced Algorithmic Trading - I think all of the backtests shown are overfit to make
them look better, but it is a good idea to get familiar with approaches / ideas to improve your
own creative process.

ML (5) Advances in financial machine learning (The first few chapters are brilliant, middle
chapters are pretty good, and the last chapters are abhorrent. It goes from insanely good
to insanely bad. MLDP is truly the Nicolas Cage of quants. He either writes the worst paper
you have ever seen about the nichest nerd hole with no relevance to making money ever… or
he cooks up an amazing method that is quite useful. I don’t know what to say honestly, but
regardless of my views on his work the first few chapters are a MUST for all quants)

ML(6) The elements of statistical learning -general ML knowledge – Less math heavy version
(Introduction to Statistical Learning in R / Python)

ML(7) Regression Analysis with Python

2
 M achine L earning and A lgorithmic T rading (T e x tbooks)

ML(8) Regression Modelling Strategies

Regressions may appear as though they are the most boring and basic tool that no real quant
other than beginners would use, but in reality they are the opposite. It is mostly beginners who
use complex machine learning models, and the professionals who use the simplest of models.
This may be hard to understand but the core of it is answered by the data itself. The data
is noisy, high dimensional, and with the slightest nudge you can overfit to it. Every beginner
massively overestimates how much margin they have to fit to the data – you just don’t have
much. Hence, regressions are the favorite. Ridge, Median Regressions, and MAD personally.

Also, may be useful to go do the machine learning courses on Coursera, but of course it won’t
be finance focused just building a general understanding of what things are and how they
work.

Bonus Books:

- Elements of Quantitative Investing Draft (this is a book written by @__paleologo on

Twitter, and is in draft form but is incredibly good so well worth the read)
- Quantitative Portfolio Management
- Advanced Portfolio Management
- Trader Construction Kit
- Optimal Trading Strategies
- Advanced Futures Trading Strategies

4th Edition Extras:

Algorithmic Trading Methods – Goes through some models

Trades Quotes and Prices – Microstructure textbook

Machine Learning in Finance – More rigorous for ML in Finance

Data Driven Science and Engineering – Not specifically quant, but there is huge alpha from
engineering/ signal processing.

3
 QUANT ROADMAP

5th Edition Extras:

Analysis of Financial Time Series

Bayesian Data Analysis

Digital Signal Analysis: An Introduction (R. Anand) – Not specifically quant, but alike ‘Data
Driven Science and Engineering’ it presents a lot of opportunities to find interesting methods
that can be applied to quant.

Robert Carver Textbooks (These are an alternative to some of the initial textbooks):

Systematic Trading

Leveraged Trading

With the exception of the Robert Carver books which are solely there to replace the Ernest Chan
books at the discretion of the reader (or if they find one of them confusing), the textbooks are
ordered in terms of value for the extras. The first selection of bonus textbooks are the ones I
believe to be essential additions, and then from there they become more and more additional.

4
Chapter 2 Derivatives, and Volatility Trading
(Textbooks)

I never expected to be doing much options trading in my lifetime beyond running statistical
arbitrage strategies when I wrote the 4th edition over 2 years ago. Since then, I’ve worked on
building out an options market making operation, and I can certainly say that the knowledge
will eventually come in handy so at least the basics are worth learning regardless. If your
career is long enough you’ll interact with options enough to at least think about how they work.

Derivatives (1) Hull Options Futures and other Derivatives

Derivatives (1 Alternative) Option Trading & Volatility Trading (both textbooks by Euan Sinclair)

Derivatives (2) Positional Option Trading

Derivatives (3) Trading Volatility

Extra Derivatives:

Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits,
Second Edition

The Volatility Surface

The Volatility Smile

Currency Derivatives

Exotic Options and Hybrids – This is more for if you want a career on an exo desk

5
 QUANT ROADMAP

Dynamic Hedging (NNT) – This is mainly for people pricing exotics, which is helpful for a
very popular starting position on an exo desk or doing options MM at a prop firm. I found
this useful when looking at options market making because it’s how you price complex
risks which you often get into when doing option market making.

Stochastic Volatility (Textbook)

BONUS CONTENT: Options Market Making

How does option market making work? Roughly speaking, you have a surface of all options
you quote, likely one per exchange, and then you modify it based on trade impacts, moves in
spot, and of course your own inventory to get a dynamic fit of it.

Your basic surface is just a fit of the market and then you will add skew based on your Greeks.
For more on how to fit the surface in an advanced way (not yet public in the academic literature)
here is a great article I wrote.

For an old, but still highly relevant textbook, I recommend checking out this:

Option Market Making

6
Chapter 3 YouTube Videos

Here are some great videos by Ben Felix. I can honestly recommend all of his videos but these
grasp at key point all traders need. Very asset pricing model/ EMH based and whilst I go for
EV (Expected Value) it is still important to know. In the podcasts section Vivek Viswanathan on
Flirting with Models gives a good explanation of how EV models can work with factor investing
and what is wrong/ right about factor models.

https://www.youtube.com/watch?v=jKWbW7Wgm0w https://www.youtube.com/
watch?v=foqswJT3Spc https://www.youtube.com/watch?v=yco0sC7AJ2U https://www.
youtube.com/watch?v=IzK5x3LlsUU

LEARN VOLATILITY

Patrick Boyle has some great books, but I also recommend his playlists. Especially the last 3
rows, which is a full education in derivatives, and he breaks down financial news in a meaningful
and educational way that is fun to watch, but without the narrative:

https://www.youtube.com/c/PatrickBoyleOnFinance/playlists

Leonardo Valencia (Some really great volatility videos, I recommend you watch them)

Tasty Trade (I like their Greek videos, but still prefer Patrick Boyle)

KeyPaganRush (Great visualizations for Charm and Vanna)

7
 QUANT ROADMAP

LEARN ALGOTRADING

Part time Larry:

Crypto Wizards:

Quantconnect YT channel more on them later

Quantra

Trade options with me (teaches Quantconnect)

Jacob Amaral (Nothing too remarkable, but a few decent trading algo vids)

Algo vibes: (great for people who are just starting)

Note: Algovibes is probably one of my top recommendations. He demonstrates how to

build a full system on many occasions and makes it as simple as possible plus also how to
research in Jupyter notebook.

LEARN SIGNAL PROCESSING

Mike X Cohen (Signal Processing applied to neuroscience, but still great)

Two great playlists by him (good alpha here)

https://youtube.com/playlist?list=PLn0OLiymPak2jxGCbWrcgmXUtt9Lbjj_A

https://youtube.com/playlist?list=PLn0OLiymPak2G__qvavn3T8k7R8ssKxVr

Abhishek Agrawal (signal processing stuff in python)

Esther Explains: (Some cool signal processing stuff)

8
 You T ube V ideos

LEARN QUANT TOPICS

1. AP Monitor (optimization, very niche/complex, but I like it)

2. Niche optimization channel (again I like it)
3. Quantpie
4. Niche and complex math channel lol
5. AI Quant (Extremely complex stuff, but it’s GOLD)
6. H&T (I will not be mean to them in this edition. They’re mostly interns and make similar
mistakes as all beginners to the practical side that I’ve seen – overcomplicating things
mostly, but the work is high quality)

LEARN DATA SCIENCE/GENERAL CODING

1. Neural Nine is more general Python, but has some good algotrading vids
2. Data Science Dojo (great data science stuff)
3. Ken Gee (general data science)
4. Coding Jesus
5. Finn Eggers (java DL stuff)
6. Keith Galli (good python tutorial)
7. Gerard Taylor (specifically I recommend his ML in C++ course)
8. Data Professor (Just general data science):
9. Ahmad Bazzi

LEARN STATS/DS MATH

1. Luis Serrano: Good statistics videos

2. Complex math channel lol
3. More easy data science/ stat videos
4. Stat Quest (really engaging guy for complex stat topics broken down so anyone can get
it)

OTHERS

1. RCM Alternatives
2. Martin Shkreli
3. Mutiny (Listen to every single podcast they have; you won’t regret it)

9
Chapter 4 Courses

On Coursera Robert Shiller has a course called Financial Markets. It is free without the certificate
$50 for the certificate. The videos are also on YouTube. This is an amazing start for finance
and the markets in general and will teach you the basics of everything in the markets. Coursera
link below:

https://www.coursera.org/learn/financial-markets-global

Medium to Higher level:

Andrew Ng has a course on Machine Learning and Deep Learning on Coursera. Those are
really good but quite math heavy.

For the math Imperial College London has a Mathematics for Machine Learning course series
and it has multivariate calculus, linear algebra and PCA. All of which will be super helpful.

There is also a Financial Engineering Part 1 & 2 course on Coursera as well.

This is also a great one for machine learning in python and has some really great strategies
included in there:

https://www.coursera.org/specializations/investment-management-python-machine-
learning#courses

https://www.coursera.org/projects/intro-time-series-analysis-in-r

This is a great project you can do in R. Amazing stuff 100% recommend. I really do stress that
this is a great resource.

10
 C ourses

RobotJames & HangukQuant on Twitter both have courses that are currently out, as well as
Euan Sinclair but they’re all very expensive.

I plan on releasing a course on arbitrage and HFT in digital asset markets co-created with a
developer from the equities world in a few months so perhaps it will be out by then. Half of it at
least is coded up at the time of writing (it’s very heavy in the code provided as it aims to leave
you with the ability to immediately put everything into practice)

11
Chapter 5 Podcasts

(One of the best resources DO NOT TAKE LIGHTLY)

Most information especially the most useful is not in textbooks so you need to religiously
study podcasts. Think of textbooks as foundational but read them to understand what is talked
about on podcasts.

• Tick Talk (My Podcast)

• Flirting with models - Also, amazing and you NEED to listen to all the episodes (I have
listened to some episodes 6+ times.)
• Mutiny fund (YouTube channel shown)
• RCM Alternatives, the derivative
• Market Champions
Chapter 6 Trading Platforms & Brokerage
Firms

For equities, and practically all other asset classes I recommend IBKR. I use them personally
and find that they have the best offering. They also offer incredibly cheap data along with their
brokerage services, and a somewhat limited PB service as you scale out.

TD Ameritrade is a great alternative, and equally as high quality as a retail brokerage offering.

If you are an institutional player in the equities space, then you will need a prime brokerage
service. All the major investment banks offer them, so think JMPC, MS, GS, etc. What do they
come with?

• The usual brokerage service

• Lower costs to trade
• Shorting capabilities (ability to get large borrows)
• Leverage
• Insurance against exchange counterparty (you face the prime broker not the exchange,
whether that’s good or bad is your own call, but big funds spread their cash around
different PBs to hedge this risk)
• Hedge fund services (many of them will do everything from raising capital to the legal
work of a hedge fund and all you do is lay back and make money – they take a hefty cut
for this service but some go for it)

In the digital assets realm, your broker is also the exchange – so things get a little bit more
nuanced. Most large shops will trade on many exchanges, your 3 largest being:

• Binance [link]
• Okx [link]
• Bybit [link]
 QUANT ROADMAP

These are all high quality. For crypto options, Deribit [link] is the largest, but for futures (the
largest market in crypto by volume), Okx, Bybit, and Binance are the largest. As I currently
write this, fiat on ramp/off ramp is not the easiest – so CDC, Kraken, and Coinbase are my
recommendations. US firms in general are not great in terms of flow but very easy to get fiat
into crypto through, and vice versa.

Prime brokers in the digital assets space offer a bit more of a limited service, but they include:

• HRP (Hidden Road Partners)

• FalconX
• Matrixport
• LTP
• Copper

I have contacts at all of these and can make introductions if you ask. US firms or even firms
with a slight US connection are barred from all of these in the current regulatory environment.
I hope this will have become an obsolete sentence by the next edition, but for now this is the
case.

HRP offers exchange insurance where you never actually give them money, they just loan you
it based on your balance sheet and then charge you interest + exchange collapse insurance
(which is incredibly underpriced btw).

They all differ by what fees they offer, as currently LTP is the biggest, but a year ago this was
completely different. Not all exchanges do fees by account, some do it by subaccount, so the
PB model doesn’t offer amazing exchange fees for every exchange anymore and is a leverage
provider after that now.

Speaking of leverage, if you want access to leverage, there are firms like Tesseract, Maple, &
Cicada which can provide capital for levering which is underwritten against a firms balance
sheet. Again, this is crypto specific.

For trading platforms that make it much easier to implement strategies, it’s worth having a look
at QuantConnect which is my favorite, but Nautilus trader also has a fair bit of progress. For
implementing simple strategies, you can’t go wrong with QuantConnect.

14
Chapter 7 Neural Networks / ML / Hype

As many will know, neural networks and machine learning methods were a favorite of mine,
especially differential geometry based approaches. Beware of manifold learning alphas as
they are not some amazing solution to the markets as many will believe at first. This was my
original view when I had more time to toy around. Nowadays, I use bar charts, scatter plots,
and linear regressions. I recommend you don’t make my same mistakes and go too deep into
these topics.

My recommendations for what is worth learning are as follows:

- Regressions
- Non-Parametric Methods
- Trees
- GAMs

Neural networks are not a core area of the markets. They are not the best way to forecast price,
and have some niche applications to alternative data. I do not recommend becoming a neural
networks professional unless you already have this expertise because you will be put into a
niche. You are at the start of your career, it’s already a busy niche so I’d say it’s worth letting
yourself fall into a niche rather than forcing yourself into one.

A lot of the resources for neural networks in finance are obsolete. They teach LSTMs, same
with the papers in the literature. Tree models are known to be better for tabular data (which is
what we have in finance). Your main application is alternative data (NLP on pundits on CNBC
for example). CNNs are not cutting edge in this field anymore… although convolution is still
important. You may do well to play around with the many open-source models in search of this
alpha instead of building your own, but then again, this is a niche that may not be for everyone.
Certainly isn’t mine.

15
 QUANT ROADMAP

Great NN guide (github book):

Week 1 · Deep Learning (atcold.github.io)

Hands-On Machine Learning with Scikit-Learn, Keras, and Tensorflow

Pattern Recognition and Machine Learning

Probabilistic Machine Learning

The Elements of Statistical Learning (referenced earlier, but this is a great textbook)

Andrew Ng Coursera Courses:

https://www.coursera.org/learn/neural-networks-deep-learning

https://www.coursera.org/professional-certificates/tensorflow-in-practice

https://www.coursera.org/specializations/generative-adversarial-networks-gans

https://www.coursera.org/specializations/tensorflow-advanced-techniques

https://www.coursera.org/specializations/natural-language-processing

Reinforcement Learning is a well talked about topic to learn and can be used for HFT in LOBs
where orders will significantly move the market because we are dealing with microstructure.
It is helpful for market making as well since MM is a control problem inherently, and RL is the
NN application to control problems. I don’t feel that RL is very well applied to topics like option
pricing where we already have solutions for them, it’s a way to overcomplicate the problem, but
I do know of firms that have used RL successfully to trade in HFT manners. Certainly, there is
a use to online parameter tuning, but not necessarily the neural network component.

ML/RL course coursera – The last two courses in the specialization are the best two.

16
 N eural N etworks / M L / Hype

Applying Deep Reinforcement Learning to Trading (Lecture YT)

Implementing Deep Reinforcement Learning Papers in Python (Helpful for implementing MM

papers for RL/ whatever your chosen application is, freeCodeCamp is a great channel)

17
Chapter 8 Key Mathematics Concepts

Whilst it is entirely possible to go through algorithmic trading topics whilst minimizing

mathematics exposure, there are key caveats that you will often miss without a deep
understanding of your models. I am not necessarily a believer that long equations provide
intuition at a high or mid-level, but at a low level (which is less intuition, more a deep
understanding) it is key.

For those determined to avoid mathematics, stick to YouTube video, papers with code examples,
and most of all Packt textbooks which do a brilliant job of explaining. I prefer this format where
you are free to explore the deep theory separately.

Measure Theory (Brings intuition to a lot of things):

Solutions to a great book for measure theory

Measure Theory

Measure Theory YT Playlist (I recommend any of the playlists on this YT channel, will cover
a lot)

General Mathematics Topics (Econometrics included as it is large/ appliable):

Econometrics (This is incredibly important)

MIT 6.042J Mathematics for Computer Science, Spring 2015

MIT: Topics in Mathematics with Applications in Finance

Coursera Mathematics for ML (In courses)

18
 K ey M athematics C oncepts

Stochastic Calculus (Masters/Advanced Undergrad topic for derivatives/MM/pairs):

Stochastic Calculus and Financial Applications (Most quants I speak to have read stochastic
calculus for finance instead, but having read this one fully, and skimmed the other, I prefer
this by a mile)

Stochastic Control for Finance (This is necessary for anyone who wants to go prop/ MM)

Stochastic Control Theory and High Frequency Trading (PPT by Knight Capital, this applied
more)

Probability Theory (Needed for everything, great intuition/ thinking framework):

MIT RES.6-012 Introduction to Probability, Spring 2018

MIT 6.041SC Probabilistic Systems Analysis and Applied Probability, Fall 2013

Probability Theory: The Logic of Science (The OG probability textbook)

FEA (Physics alpha):

MIT Linear Finite Element Analysis

MIT Nonlinear Finite Element Analysis

19
Chapter 9 Optimization (Deterministic &
Stochastic)

Why is optimization important? In my time I’ve used optimization models for:

• Estimating Implied Volatility [link]

• Estimating Implied Distributions [link]
• Automated Alpha Discovery [link] [link]
• Portfolio Optimization [Article I wrote that touches on this with some code]
• Pairs Trading Strategies [Chapter 20]
• Market Making [Chapter 19]
• Optimizing Strategy Parameters

When the gradient is not clear we can use genetic algorithms, however, these are noisy and
can get stuck. They also use a lot of compute resources. Alternatively, we can take a more
complex approach by estimating the gradient with an actor. This is an approach borrowed from
reinforcement learning. We can use this as our gradient and apply methods that require them.
I find that reinforcement learning works best in an HFT environment when you can only rely on
live trading (i.e. test in prod) to get any real results. Some firms are more practically minded
than others and prefer to optimize parameters, whereas others will tune them manually.

If you are calculating optimal portfolios the optimization can get quite complicated, and
same with some advanced pairs trading strategies so hence this is a field worth learning. At a
minimum, you should understand the simpler algorithms:

- Genetic Algorithms
- Basin Hopping
- Monte Carlo Optimization
- Convex Optimization Basics
- Linear Optimization Basics
- Simplex

20
 O ptimi z ation (D eterministic & S tochastic)

- Newton Raphson

If we know the gradient however, we can use most optimization algorithms on this. Optimization
problems may have constraints such as budgets this is something that is key to understand
when engineering this into your optimization algorithms.

Monte Carlo methods are very often encountered in my own work so I recommend learning
these, but ensure that you don’t overcomplicate the problem. Getting to a minimal effective
solution in as little work as possible is the final goal at the end of the day.

Linear Algebra and Optimization for Machine Learning: A Textbook

Algorithms for Optimization

Convex Optimization Algorithms

Variable Ordering Structures in Vector Optimization

Numerical Optimization

Hands-on genetic algorithms with Python

Accelerated Optimization for Machine Learning First-Order Algorithms

First-Order and Stochastic Optimization Methods for Machine Learning

Note: Convex Optimization & Optimization In General

When I first got into quantitative finance, we didn’t have any LLMs obviously, but nowadays you
can ask ChatGPT, Claude, or whatever LLM is best by the time you are reading this to produce
a solution in Python to your optimization problem.

For that reason, there is a less of an importance on understanding some of these methods, but
not all of them. For certain tasks, you will have a hard time getting LLMs (in their current state

21
 QUANT ROADMAP

08/07/2024 -- DD/MM/YYYY) to create convex relaxations for problems although they aren’t
too bad if you use the state of the art LLMs to try and get a linear solution to the problem.

When it comes to optimization for options pricing, I have an article about it but I recommend
using libraries for this (py_volllib or black_scholes in Rust).

Genetic algorithms, there is no chance you will be able to get ChatGPT to make for you in
their current state so you actually need to learn this one. I know plenty of people who have
implemented automated alpha discovery successfully.

None of this is to say that it is useless, but please do reflect on what you expect LLMs to make
obsolete, or at least be aware of the fact that LLMs are useful to solve many of these problems
nowadays assuming they are quite simple.

22
Chapter 10 High Frequency Trading & Market
Making

Here is a large dump of resource for HFT. In terms of textbooks, I recommend High-Frequency
Trading: A practical guide to algorithmic strategies and trading systems 2nd edition.

You can also check out any of these textbooks:

• Inside The Black Box

• Dark Pools and High Frequency Trading For Dummies
• Algorithmic and High-Frequency Trading

I don’t feel any of the textbooks above, including the one outside of the bullet point list, are
going to teach you how to do HFT. That’s going to come from playing around with the data,
and learning the dynamics. You’ll also get a benefit from forecasting and machine learning
knowledge. The textbooks really teach you the basics of HFT – not much beyond that.

The Nanex research articles are one of the best resources out there.

See the light reading section, but Flash Boys is amazing for HFT (basically the book that made
HFT well known) and so are these books (this overlaps with light reading, but I wanted to
highlight):

Dark Pools
Broken Markets
The Problem of HFT
Flash Boys: Not So Fast – This is an insiders review of Flash Boys and is really great
Trading at the speed of light

23
 QUANT ROADMAP

For learning how market makers function:

Empirical Market Microstructure

Trades Quotes and Prices – Microstructure textbook (REPEAT FROM ML SECTION)

List of links (not made by me):

https://sniperinmahwah.wordpress.com/2014/09/22/hft-in-my-backyard-part-i/

https://sudonull.com/post/93403-Online-Algorithms-in-High-Frequency-Trading-
Problems-of-Competition-ITI-Capital-Blog

https://www.youtube.com/watch?v=AS7HLtErlI8

Avellaneda strategy: A technical deep dive

https://hummingbot.io/blog/2021-04-avellaneda-tech-deepdown

A comprehensive guide to Avellaneda & Stoikov’s market-making strategy

https://hummingbot.io/blog/2021-04-avellaneda-stoikov-market-making-strategy

https://www.youtube.com/playlist?list=PL2F82ECDF8BB71B0C

https://medium.com/@eliquinox

https://www.youtube.com/watch?v=XgFzHXOk8IQ&list=PLQnljOFTspQUGjfGdg8UvL
3D_K9ACL6Qh&index=9

https://alexabosi.wordpress.com/2014/08/28/limit-order-book-implementation-for-low-
latency-trading-in-c/

https://github.com/rubik/lobster

https://www.youtube.com/playlist?list=PL5Q2soXY2Zi_FRrloMa2fUYWPGiZUBQo2

24
 O ptimi z ation (D eterministic & S tochastic)

https://www.youtube.com/watch?v=_OJmxi4-twY

https://www.youtube.com/watch?v=NmarI5ErisE

https://www.youtube.com/watch?v=9nuAjYRbITQ

https://t.co/Rcnw26Bzyr?amp=1

https://web.archive.org/web/20110219163448/http://howtohft.wordpress.
com/2011/02/15/how-to-build-a-fast-limit-order-book/

https://www.guru99.com/os-tutorial.html

https://github.com/theopenstreet/VPIN_HFT

https://github.com/hudson-and-thames/mlfinlab/blob/master/mlfinlab/data_structures/
imbalance_data_structures.py

https://drive.google.com/file/d/0B4pk0Nap6TZLNTBhblRHcUJUVmM/
view?resourcekey=0-G3T886oNA-ZXtLQE7tKZDA

INFRA:

https://medium.com/prooftrading/proof-engineering-the-algorithmic-trading-platform-
b9c2f195433d#a1f7

https://medium.com/prooftrading/selecting-a-database-for-an-algorithmic-trading-
system-2d25f9648d02

https://www.linkedin.com/in/silahian/detail/recent-activity/posts/

http://www.caravaggioinbinary.com/HFT-Simulation-Lab/

https://rickyhan.com/jekyll/update/2019/12/22/how-to-simulate-market-microstructure.
html

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 QUANT ROADMAP

https://youtu.be/b1e4t2k2KJY

https://medium.com/prooftrading/the-trading-strategy-63183bd231cd

https://medium.com/prooftrading

https://mattgosden.medium.com/tutorial-using-pythons-unsync-library-to-make-an-
asynchronous-trading-bot-9ee2ae881272

https://www.youtube.com/watch?v=SOTamWNgDKc

Strats and Backtesting:

https://towardsdatascience.com/application-of-gradient-boosting-in-order-book-
modeling-3cd5f71575a7

http://jonathankinlay.com/2021/05/machine-learning-based-statistical-arbitrage/

https://letianzj.github.io/cointegration-pairs-trading.html

https://hudsonthames.org/caveats-in-calibrating-the-ou-process/

https://www.youtube.com/playlist?list=PLv-cA-4O3y95J6xmwSaCILL4FlGJZO0PJ

https://teddykoker.com/2019/05/momentum-strategy-from-stocks-on-the-move-in-
python/

Programming:

https://www.youtube.com/watch?v=NH1Tta7purM

https://www.youtube.com/watch?v=pBKwWl56uXc

26
 O ptimi z ation (D eterministic & S tochastic)

Market Data:

https://cdn.tun.to/minute/

http://www.kibot.com/free_historical_data.aspx

https://www.dukascopy.com/swiss/english/marketwatch/

3rd Edition Extras:

https://www.youtube.com/c/dYdXprotocol/videos

h t t p s : // m e d i u m . c o m / o p e n - c r y p t o - m a r k e t - d a t a - i n i t i a t i v e /
simplified-avellaneda-stoikov-market-making-608b9d437403

h t t p s : // w w w . t a s t y t r a d e . c o m / s h o w s / g e e k s - o n - p a r a d e / e p i s o d e s /
market-making-with-shelly-geeks-2019-07-19-2019

https://quant.stackexchange.com/questions/36073/how-does-one-calibrate-lambda-in-a-
avellaneda-stoikov-market-making-problem

http://proceedings.mlr.press/v128/wisniewski20a.html

https://github.com/valeman/awesome-conformal-prediction

https://medium.com/prooftrading/building-a-high-performance-trading-system-in-the-
cloud-341db21be100

Algorithmic and Advanced Programming in Python:

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 1 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3953589

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 2 https://t.co/uq4I7V4oa3

27
 QUANT ROADMAP

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 3 https://t.co/1ojWwr2SPO

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 4 https://t.co/Su7OZD1SpU

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 6 https://t.co/hJoREZaOYc

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 7 https://t.co/TBs30cXoND

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 8 https://t.co/kGhjQZMBYX

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision

Making & Data - Masterclass 9 https://t.co/FoSCRn4B5V

These will be a few more technically focused textbooks, but they explain some of the latency
tricks related to optimizing trading algorithms:

- Professional Automated Trading [REALLY GOOD READ]

- Developing High-Frequency Trading Systems
- Trading Systems: Performance Unleashed

28
Chapter 11 Additional Volatility/Derivatives
Resources

This is just one link, but it contains many links within so don’t treat it lightly. This is a top
recommendation.

https://moontowerquant.com/select-content-from-the-quant-and-vol-community

Options Starter Pack

https://moontowerquant.com/options-starter-pack

Even more of me blatantly copying and pasting Kris’s recommendations/ resources, but they’re
really good

https://moontowerquant.com/moontower-content-by-kris-abdelmessih

Wilmott forum:

I cannot highlight how great of a resource this is. I think it may be one of the only resources
where a genuine discussion for pricing exotic derivatives etc can be found. There are some
alpha bits in there as well, but in the technical section of the forum there are discussions on
models from pricing everything from vanilla European options to Bermudian swaptions, and
better yet this is by people who work in the industry.

h t t p s : // f o r u m . w i l m o t t . c o m / ? _ g a = 2 . 7 9 1 5 9 6 3 6 . 1 3 0 4 7 3 6 7 9 5 . 1 6 4 2 8 7 5 6 4 2 -
1589239950.1642875641&_gl=1*3qlrhp*_ga*MTU4OTIzOTk1MC4xNjQyODc1NjQx*_ga_5
1FRCD57RP*MTY0Mjg3NTYzNy4xLjEuMTY0Mjg3NTY0OS4w

29
 QUANT ROADMAP

Nuclear Phynance (for some strange reason Wilmott and NP users hate each other) is a great
resource. Not so much derivatives only, both NP and Wilmott are diverse, but Wilmott is mainly
derivatives. This is an awesome server.

https://nuclearphynance.com/

Sadly, Nuclear Phynance got deleted. I have left the above in as a memorial to what the site
once was. I am sorry it is outdated, but I feel it should be remembered because it was a great
site. ThePythonQuant on Twitter is working to recreate it as I understand via discord.

30
Chapter 12 Coding Languages Review and
Resources

This is mainly opinion, but for research you should know either R or Python very well (I
recommend Python as there are more resources) although when you become more advanced
basic Python will not be fast enough so you will need to learn advanced Python and Cython
(using C/C++ through Python).

Learning Quantitative Finance with R

High Performance Python

Clean Code In Python

Advanced Python Programming

Expert Python Programming

If you want to do High Frequency Trading (HFT) or Market Making (MM) you will need to learn
C/C++ because it is the fastest (in crypto Rust is preferred). Hard to learn, so don’t start with
it, but rewarding.

In terms of research languages some quants will use R or MATLAB specifically because it has
lots of statistical functions that are optimized for data analysis. Ernest Chan loves MATLAB but
in reality, it isn’t very good so stick with R if you want to learn a 2nd/3rd language for researching
math heavy topics specifically. Otherwise, Python should fill the role.

Anaconda (100% free) is an easy way to install R and Python and comes with Jupyter notebook
and Spyder (I like Spyder as an IDE although this is a big debate), but Jupyter is without fail the
best for working in for research, and both R and Python can be used in it.

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 QUANT ROADMAP

If you are hopeless at programming, or just want to go fast then Orange (comes with Anaconda)
uses a graphical user interface and requires no programming. It uses scikit learn models which
can easily be implemented when you do pick up some code as well (for implementation for
example). Really great stuff with loads of models, and you can run your own Python scripts in
it if the model is not available. There are external packages to install like time series models
and NLP specifically, but the standard library is great as well.

Below I have added some resources for learning algorithmic trading skills in alternative coding
languages as well as textbooks for generally becoming good at these languages, but these
are quite advanced and are for later in your journey. Focus on the textbooks in the start of the
roadmap:

C++ High Performance For Financial Systems

High Performance C++ (Textbook)(ADVANCED)

Machine Learning in C++ YouTube Playlist/Course

Machine Learning with C++ (Textbook)

Modern Data Mining in C++ and CUDA C

Data Mining Algorithms in C++

Testing and tuning market trading systems: algorithms in C++ (Textbook)

These are lecture series on algorithms, data structures, logic etc. These will help you to program
better and learn to find solutions that are as fast and efficient as possible:

In my time working in the digital assets industry, I have come to find that Rust is actually
far more popular than C/C++, so hence I have decided to include a new section on my Rust
programming textbooks:

The Rust Programming Language

Rust For Rustaceans

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 O ptimi z ation (D eterministic & S tochastic)

Rust High Performance

Concurrency with Rust

Rust Network Programming

In my own Rust journey, we were building a cross-exchange spot arbitrage bot and this was
basically my first time touching the language. Having only known Python, R, and C++ as my
best languages, I jumped straight into coding it. I was literally googling how to do for loops and
if conditions in Rust while I coded. I knew there obviously was some syntax for these things
as I’d done them in C++, but over the period of a week whilst coding this bot I went from 0
knowledge to being half decent at it. I suggest that readers do the same.

It was a good lesson that I was sitting watching videos about Solidity and one of the devs on
my team came up to me and went “why aren’t you just coding a smart contract, you’ll learn
10x as much” and that is just as true now as it was at the time. In hindsight I already knew this
and was being a bit lazy. The truth is that if you simply read these textbooks (and it goes for
all textbooks, but especially the programming textbooks, hence why this has it’s own learning
note instead of going in the ‘how to learn this material chapter’) you will forget everything you
have learned in no time. You need to put the textbook on the desk next to you and treat it as a
way of discovering what you don’t know you don’t know – but you can’t actually “learn” from
the textbook, only discover that you didn’t know something.

33
Chapter 13 Projects

Many of these projects involve neural networks or complicated methods I do not necessarily
recommend taking such routes as it is my view that they are overcomplicating things. Master
regressions, and practically minded approaches. These are a list of resources for if you are very
focused on deep learning already and want to expand. It is not my suggestion that anybody
choose these as their first projects (I include them because my goal here is to include anything
relevant).

I have full sections on 5 different types of strategies:

1. Pairs Trading
2. Arbitrage
3. Market Making
4. Momentum
5. Seasonality

These are by no means comprehensive, but they are the areas I have put into production by far
the most and have a lot of experience with. Thus, I have written sections specifically on them
so that you can get ideas for projects. I feel this is the most practical source of inspiration for
those projects.

Subject Structure Method Information URL

Deep Learning of Small Deep learning of Topology reshaping 1) the sparsification https://www.linkedin.com/pulse/deep-
Portfolios for Index sparse autoencoder techniques which techniques force it learning-small-portfolios-index-tracking-
Tracking (SAE) models help to identify less during training to nikolay-nikolaev/
complex models generalize better,
that capture the and 2) the robustifi-
essential structure cation using a heavy-
in the data tailed noise model
diminishes the effect
of outliers
Algorithmic Cryptocur- Sharpe-optimal Con- Recurring Nonlinear directional fluc- https://www.linkedin.com/pulse/algo-
rency Trading with nectionist Learning Pattern tuations in the given rithmic-cryptocurrency-trading-sharpe-
Sharpe-optimal Deep (SCL), Recurrent series which are optimal-deep-nikolaev/
Learning Reinforcement sufficient for sending
Learning (RRL) trading signals.

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 O ptimi z ation (D eterministic & S tochastic)

Universal Cointegration CCM(kNN) -Cross Estimated Price Linear combination https://www.linkedin.com/pulse/universal-

for Pairs Trading via Covergent Mapping by Pair Nonlinear produces a station- cointegration-pairs-trading-via-machine-
Machine Learning (k cluster Nearest Modeling(Estimated ary residual differ- nikolay-nikolaev/?trackingId=nKswdHj1R
Neighbors) Single Asset Price ence series (also %2FagxOErDCoMSg%3D%3D
by Nonlinear mod- called spread).
eling)
Local Prediction of Mid- kNN Regression Arrival Time(kNN Order Book Mid https://www.linkedin.com/pulse/local-
Prices in Limit Order Regression) Price Arrival time prediction-mid-prices-limit-order-book-
Book Markets markets-nikolay-nikolaev/
Machine Learning with pdf(kNN), Nonparametric Local Density kNN https://www.linkedin.com/pulse/machine-
Dynamic Time Patterns CDF(kNN),Adaptive forecasting of learning-dynamic-time-patterns-algorith-
for Algorithmic Trading Shape Distance time series using mic-trading-nikolaev/
(ASD) [3], Com- dynamic time pat-
plexity Invariance terns
Distance (CID) [4],
Dynamic Time Warp-
ing (DTW)
Nonparametric Self-adaptive Local Adaptive repeating Essential charac- https://www.linkedin.com/pulse/nonpara-
Machine Learning for Learning Machine nonlinear patterns teristics of the data metric-machine-learning-algorithmic-
Algorithmic Cryptocur- (SLLM) by proportional trajectory trading-nikolay-nikolaev/
rency Trading degree of similar-
ity reflecting the
essential charac-
teristics of the data
trajectory
Overfitting Avoidance Multivariate General Network Architec- Proportionally den- https://www.linkedin.com/pulse/overfit-
in Portfolio Construc- Regression Neural ture sity of the effective ting-avoidance-portfolio-construction-
tion using Probabilistic Network (MGRNN) range (stock spread) using-neural-nikolaev/
Neural Networks
Generative Adversarial Generative Adver- Generator network Closeness between https://www.linkedin.com/pulse/genera-
Networks for Machine sarial Network and a discriminator the utilities obtained tive-adversarial-networks-machine-learn-
Learning of Constrained (GAN) network that play an with sampled ing-nikolay-nikolaev/
Portfolios adversarial game weights
Deep Neural Networks Robust DNN Nonlinearity Rectified Units/Gra- https://www.linkedin.com/pulse/deep-neu-
for Prediction-based (RDNN) dient Convergence ral-networks-prediction-based-portfolio-
Portfolio Construction Speed nikolay-nikolaev/

Regime-based Machine Markov Regime- Volatility based Portfolio weights https://www.linkedin.com/pulse/regime-

Learning of Green Switching (MRS) regime switching are calculated based-machine-learning-green-stock-
Stock Portfolios model dependent on the portfolios-nikolay-nikolaev/
particular regime,
that is the portfolio is
conditioned on the
regimes.
Efficient Direct Rein- Connectionist Rein- Multi-output feed- Risk-averse invest- https://www.linkedin.com/pulse/efficient-
forcement Learning of forcement Learning forward neural ment strategy as a direct-reinforcement-learning-low-risk-
Low-risk Portfolios machine for efficient network sequence of alloca- nikolay-nikolaev/
computation of tions and re-balanc-
Online Portfolios ing decisions
(CRLOP)
Deep Learning of Deep Dynamic Deep network asset returns from https://www.linkedin.com/pulse/deep-
Dynamic Factor Models Factor Model structure, Neural inferred factor real- learning-dynamic-factor-models-asset-
for Asset Pricing (DDFM) network pruning izations, more pre- pricing-nikolay-nikolaev/
technique, using a cisely, the factors are
cardinality param- forecasted arrange-
eter to control the ments of individual
degree of sparse- asset contributions to
ness the overall portfolio.

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 QUANT ROADMAP

Support Vector epsilon Support Sparse regression Two hyperparam- https://www.linkedin.com/pulse/support-

Machine Learning of Vector Regression algorithm eters: the first deter- vector-machine-learning-sparse-portfo-
Sparse Portfolios (e-SVR) machine mines the size of the lios-nikolay-nikolaev/
sensitivity, and the
second determines
its influence on the
magnitude of the fit-
ting error.
Online Portfolio Trading Reinforcement Recurrent neural Momentum and https://www.linkedin.com/pulse/online-
by Dynamic Reinforce- Learning machine network adaptive learning portfolio-trading-dynamic-reinforcement-
ment Learning for Online Portfolio rate for switching nikolay-nikolaev/
trading (RLOP) between passive and
aggressive updating
depending on the
recent profitability.

Building Smart Beta Smart Beta portfo- Alternating Direc- Statistical charac- https://www.linkedin.com/pulse/building-
Portfolios with Large- lios, like the Most tion Method of Mul- teristics and econo- smart-beta-portfolios-large-scale-
Scale Machine Learn- Diversified Portfolio tipliers (ADMM) metric performan- machine-nikolay-nikolaev/
ing (MDP), Risk Parity ceof the proposed
Portfolio (RPP) ADMM-based tool for
creating Smart Beta
portfolios
Bayesian Machine Bayesian Robust Ornstein–Uhlen- Heavy-tailed models https://www.linkedin.com/pulse/bayesian-
Learning for Robust Online Portfolio beck stochastic dif- of returns on prices machine-learning-robust-on-line-portfolio-
On-line Portfolio Selec- Selection (BROPS) ferential equation (based on an nikolay-nikolaev/
tion approximation of the
Student-t density by
an infinite mixture of
Gaussians)
Efficient Computa- Most Diversified Nonlinear program- Maximize the https://www.linkedin.com/pulse/efficient-
tion of Sparse Risk- Portfolio (MDP), ming algorithms ratio between the computation-sparse-risk-based-portfolios-
based Portfolios using Equal Risk Contribu- weighted aver- using-nikolaev/
Machine Learning tion (ERC) age volatility of the
assets and the total
portfolio volatility
Robust Portfolio Optimi- Mean-Variance Port- Quadratic Program- Optimized Mean https://www.linkedin.com/pulse/robust-
zation via Connectionist folio (MVP), Con- ming (QP) and Minimum STD, portfolio-optimization-via-connectionist-
Machine Learning nectionist Optimiza- Convergence Rate machine-nikolaev/
tion Machine (COM) (Speed)
Deep Cleaning of Covariance Matrix Autoencoder denoised versions https://www.linkedin.com/pulse/deep-
Covariance Matrices for Machine (AEM) of the eigenvectors cleaning-covariance-matrices-portfolio-
Portfolio Allocation of the covariance nikolay-nikolaev/
matrix which help to
recover its genuine
structure
Finding Structure in the Centroid K-means algorithm mean-reverting https://www.linkedin.com/pulse/finding-
Co-movement of Stock and the Self-Orga- eigenportfolio with structure-co-movement-stock-prices-via-
Prices via Adaptive nizing Map (SOM) the stocks from each metric-nikolaev/
Metric networks cluster
Deep Learning Auto- Portfolio arbitrage Principal Compo- eigenportfolio as a https://www.linkedin.com/pulse/deep-
encoders for Building nent Analysis (PCA) linear combination of learning-autoencoders-building-principal-
Principal Component and the Autoencod- all stocks which are nikolay-nikolaev/
Portfolios ers (AE), Variational allocated contribu-
Bayesian inference tions according to
their corresponding
coefficients in the
first principal com-
ponent

36
 O ptimi z ation (D eterministic & S tochastic)

Machine Learning of Robust Dynamic Statistical arbitrage mean-reverting https://www.linkedin.com/pulse/machine-

Heavy-Tailed Dynamic Mixture Models (statarb) spreads based on a learning-heavy-tailed-dynamic-spread-
Spread Models for Sta- discrete version of models-nikolay-nikolaev/
tistical Arbitrage the Ornstein–Uhlen-
beck stochastic dif-
ferential equation,
Dynamic Hedge
Ratios
Self-Tuning Local Self-tuning Local Local Learning autocorrelations, https://www.linkedin.com/pulse/self-tun-
Learning Machines Learning Machine machines (LLMs) behaviour patterns ing-local-learning-machines-prediction-
for Prediction of Stock (SLLM) based on the near- stock-market-nikolaev/
Market Returns est neighbours
approach
Deep Learning of Het- Dynamic hetero- Deep connectionist Volatility rank and https://www.linkedin.com/pulse/deep-
eroskedastic Volatility skedastic volatility structure by unroll- probability, time rela- learning-heteroskedastic-volatility-mod-
Models for Risk Estima- models (D2GARCH) ing the network in tionships in the data els-risk-nikolay-nikolaev/
tion time.
Deep-Memory Net- Deep-Memory Dynamical system Feature Extraction https://www.linkedin.com/pulse/deep-
works vs. Deep Learn- Neural Networks using sequential -> long-term memory-networks-vs-deep-learning-
ing Networks for Stock (DMNN) Bayesian estimation dependencies via stock-market-nikolay-nikolaev/
Market Prediction to accommodate memory feedbacks
properly the tempo- and gates for
ral dimension. behavioural control

37
Chapter 14 Data

Data is typically not the easiest to come by. There are 3 different sources of data that are free
you can find on the internet:

1. Data dumps from people who have paid for it

2. Free data directly from the exchange (popular in crypto)
3. Competition data

There’s also Yahoo Finance which I would consider an exception, and of course there are ways
to get data via trial and web scraping sites like investing dot com, yahoo finance, etc.

Before we get started, here are some articles about data (cleaning, sourcing, and pre-processing):

- QR1: Demons Lurk In Your Data by 0xfdf

- Quant Arb’s Data Sourcing Guide
- Quant Arb’s Data Pre-Processing Guide

First, I will start with a list of providers – this is not necessarily my top sources for budget, but
simply an overview of who is considered the go-tos. For crypto this list is (heavily based on
systematicls’ tweet which was community driven with modifications of my own):

Tick Data:

1. Tardis (majority + preferential over Kaiko)

2. Kaiko (majority)
3. LO Tech (founded by @TimMeggs )

I have not tried LO Tech, but Tim has a strong reputation in the community, worth checking out.
Tardis is generally accepted as the default standard. It is vastly cheaper and easier to use than

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 O ptimi z ation (D eterministic & S tochastic)

Kaiko – although still in the tens and tens of thousands at the institutional level. Kaiko has
much better coverage than Tardis, so that’s mostly the niche that is filled with it.

Blockchain:

1. Dune (rec by @spxudi )

2. Glassnote (rec by @quant_arb )
3. Santiment (rec by @quant_arb )
4. Arkham (rec by @spxudi )
5. IntoTheBlock (rec by @friendscallmeap )
6. Flipside (rec by @friendscallmeap )
7. The Tie (rec by @sersabr )

News:

1. Ravenpack (majority)
2. Velo (majority)

You can also get news data from Tiingo if you want it to be quite cheap, and you can get
sentiment data that is similarly priced to Ravenpack from Alexandria research.

OHLCV data can be acquired directly from the exchanges in digital assets.

Tiingo - $30/mo. Cheap, but the data is only fundamental, EOD, minute data, and news data.
There are some issues with the crypto data because it is aggregated cross-exchange so the
highs and lows and extreme relative to what you would normally see. Live data as well.

Polygon – a bit more than Tiingo, but has tons of coverage and a lot more different types of
data. Still priced in a very retail friendly way.

Binance – FREE. Only crypto data and the historical data is of course limited to aggregates
historically and only a brief window if you want historical sub-minute data. But I have scraped
quotes so ask and I can provide.

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 QUANT ROADMAP

IBKR - $10-30. Super cheap and you can basically get all the data you could ever want out of
it but you need an account and $500 deposited with them since they’re a broker (my broker
recommendation btw). The API is slow as shit so if you want to download their entire options
data library you better make a scraper in AWS Cloud because it will literally take over a month.
(AWS SageMaker Jupyter notebooks are an easy way to scrape data without needing to set
up servers using anything technical, this method can also be done for live hosting trading
algorithms)

Links: (Over a TB of data, worth a fortune, but handed out here for free!)

Numerai uses community sources alpha for running it’s fund and gives out loads of free data

https://numer.ai/

G-Research Crypto gives out data as well, but don’t submit code. Read the legal docs you are
giving them it basically. Blatant code grab. (God this data is awful. I think it was broken on
purpose to make the challenge harder)

https://www.kaggle.com/c/g-research-crypto-forecasting/data

22GB of IQFeed Data

https://mega.nz/folder/HUQzDCgK#rc45NqXhRA8SFgK1l2MYcw

1.2GB of CompuStat data.

https://mega.nz/file/6IwnQKQL#Xb1PQja8veVCRWy7nJ_o45ZKeDyDy4IYV7QAHQnv7A4

Cryptocurrency data for Bittmex

https://www.kaggle.com/tencars/392-crypto-currency-pairs-at-minute-resolution

3k stocks, decade+ of financial data

https://www.kaggle.com/miguelaenlle/parsed-sec-10q-filings-since-2006

40
 O ptimi z ation (D eterministic & S tochastic)

More data. Also not great, but hey anything helps, and it can be fixed of course

https://www.kaggle.com/c/ubiquant-market-prediction/data

Loads of NLP data. Headlines and analyst reports mainly

https://www.kaggle.com/miguelaenlle/massive-stock-news-analysis-db-for-nlpbacktests

Google search data

https://www.kaggle.com/miguelaenlle/google-trends-history-for-4000-stocks

Optiver IV prediction data

https://www.kaggle.com/c/optiver-realized-volatility-prediction/data

41
Chapter 15 GitHub Repositories

One of the best ways to find good examples are on GitHub and one of the best repositories for
algorithmic trading is the one that accompanies the machine learning for algorithmic trading
textbook referenced earlier.

https://github.com/stefan-jansen/machine-learning-for-trading

Barter is a Github made by someone over at Keyrock, which is a market making firm in the
digital assets space. It’s become a bit dry, but was the initial inspiration for one of the core
trading libraries I use at work. Worth having a read through to get a better idea of how things
should be structured.

https://github.com/barter-rs/barter-rs

Another repository that comes from a textbook is the repository that comes from Mastering
Python for Finance. The models in the textbook are quite good especially LSTAR models which
aren’t usually in time series courses, but are great models.

https://github.com/jamesmawm/Mastering-Python-for-Finance-source-codes

This is a github repository that links to other notebooks and has quantitative resources in
itself. It has a lot more risk models/ pricing models especially compared to the first repository
referenced which is purely about generating alpha, and still has loads of purely alpha based
model so is loaded with resources.

https://github.com/letianzj/QuantResearch

42
 O ptimi z ation (D eterministic & S tochastic)

This github provides some basic examples toward applying signal processing in Python which
can be used as features in the feature engineering process rather successfully.

https://github.com/SparkAbhi/SignalProcessingWithPython

This is an interesting project that applies one of the most important pairs trading papers in
the literature in a detailed manner with up to date code examples as well. The use of PCA to
generate multivariate portfolios for both portfolio optimization and mean reversion trading is
a key advancement here.

https://github.com/alexdai186/Eigenportfolios

Generating features/ finding examples of great features to use is always a good thing to have
so the next two repositories give great examples of basic feature engineering. The second one
doesn’t make as good features as these are only basic price features, but it shows how to use
PySpark (I personally prefer Dask – it’s more effective) which is used for big data applications
such as with HFT data (a couple months of quote data can be 50GB compressed -> ½ TB
uncompressed and 50TB if you engineer 500 features, so distributed computing is needed!)

https://github.com/hjeffreywang/Stock_feature_engineering/blob/master/Feature_
generation.ipynb

https://github.com/MiaDor12/Advanced_Feature_Engineering_of_Raw_Data_of_
Stocks-with_PySpark/blob/master/Advanced%20feature%20engineering%20with%20
pyspark%20on%20raw%20data%20of%20stocks.ipynb

Here is another example of good feature engineering and the use of fractional differencing to
make the data stationary which then lets you use models that assume stationarity such as FFT
(Fast Fourier Transform) although there are non-stationary signal processing models as well.
More details are in a thread I wrote on this subject on twitter

https://github.com/alexbotsula/Price_direction_forecast

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 QUANT ROADMAP

Here is a github full of microstructural models for high frequency trading (the next few repos
will be HFT/MM).

https://github.com/gjimzhou/MTH9879-Market-Microstructure-Models

VPIN is an important model for market making and is one of the latest models in the literature
so here is an implementation repository.

https://github.com/jheusser/vpin

High frequency trading statistical arbitrage example github repository.

https://github.com/clfrenchgit/gdax-bot

HFT using DL models for statistical arbitrage.

https://github.com/scibrokes/real-time-fxcm

This one isn’t quite github but is a great resource for finding example C++ code for developing
low latency C++ systems.

http://dlib.net/

A great example of C++ HFT MM algorithms. An improvement idea I have suggested to the
author but can also be attempted by interested algotraders is that a fast model like XGBOOST
(there is a C++ library) is used alongside some alphas to make spreads asymmetric before
traders can trade against you and you get negative edge in those trades. A large part of market
making is cheaply executing alphas by trying to get inventory on the side of your predictions
and also by getting out the way of adverse conditions by making your spreads asymmetrically
wide (traders with alpha against you).

https://github.com/hello2all/gamma-ray

Massive dump of mainly papers and some textbooks!

https://mega.nz/folder/g90whIDK#8f2uZESbHFTBEzG-0udqrA

44
 O ptimi z ation (D eterministic & S tochastic)

These are more just other people’s resources, but they are all in drives and I enjoyed most of
them, but obviously I prefer my own resources as I have vetted them more.

https://github.com/beimingmaster/quant-resources

This is a GitHub repository written by @BeatzXBT on Twitter. It’s full of tons of great market
making content. Well worth checking out!

https://github.com/beatzxbt

45
Chapter 16 Light Reading

This section includes books that are not quite textbooks but build a general knowledge of how
the industry works. This is good for showing you know the industry well in interviews, and just
really great common sense in modelling.

Liars Poker

Flash Boys (This and Dark Pools are a great resource of understanding HFT)

Irrational Exuberance

The intelligent investor

Pragmatic capitalism (there is a great list of books to read at the end of the book)

The black swan – tail risk

Fooled by randomness – tail risk/ understanding randomness

The quants (Scott Patterson) (so much common sense, and lessons in this book)

Dark Pools (Scott Patterson)

More money than god – A full history of hedge funds

Black edge – Steve Cohen Biography. What a legend

The man who solved the markets – Great book but here is a summary of the lessons from
a friend (but do read the book as well, it’s interesting)

46
 O ptimi z ation (D eterministic & S tochastic)

A man for All Markets: Beating the Odds, from Las Vegas to Wall Street

The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin, and Reward

When Genius Failed – A very important lesson emphasized by the quants

A Random Walk Down Wall Street

Billion Dollar Whale

The Predators’ Ball

Broken Markets

The Problem of HFT

Flash Boys: Not So Fast – This is an insiders review of Flash Boys and is really great

Trading at the speed of light

Investing for adults – Easily the greatest book for passive investing (It’s a mini-series, but
basically as long as a single book)

The rise of carry

Bombardiers - Po Bronson

FTSE: The Inside Story

Flash Crash: A Trading Savant, a Global Manhunt and the Most Mysterious Market Crash in
History

47
Chapter 17 Careers

The usual career path:

1. Attend Target University (this means top university)

2. President of Finance Club / Student Consultancy / Interest Shown
3. University Internships
4. Spend at minimum 3 months memorizing every question in a quant interview question
textbook and learning every brain teaser you can find.
5. Cold emails/ coffee chats/ networking
6. Get a job at a prop shop / hedge fund / investment bank
7. Move to a smaller shop and run risk

Here is a very useful article I wrote about the pathways to running risk in a lot more details:

https://x.com/quant_arb/status/1801233401136992756

The first thing to make this better is to get a top internship in high school or early university.
This is hard, and by no means necessary but it certainly helps you along and differentiates you.
Resources are provided below. Once an internship is obtained it is referred to as a conveyor
belt because it becomes far easier to get another. 85% of those with internships come back.
When you receive a summer internship do not wear a Rolex, Gucci sleds, etc. You are there to
wear a plain Casio, always leave later than your boss, and get that return offer.

Read this thread by Rich Handler for some great internship advice.

One resource is Wall Street Oasis. This is very heavy on investment bankers and finance
focused individuals, but there is certainly room for quant. r/quant on reddit has a good few
career posts on there, worth checking out.

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 O ptimi z ation (D eterministic & S tochastic)

Watch Alpesh Patel on Tiktok (@greatinvestments) and check out the “internship” he offers.
They are a 100m+ fund and offer an open internship. It’s basically a course and you won’t learn
much, but anyone can do it and it will +1000 points your resume.

Same deal with “theforage.com”. You can get virtual GS, and JPMC internships (no application/
rejection it’s open to all) which aren’t really actual ones, so I do recommend being careful with
this, but anything to bolster the resume can help until you’ve worked in some real roles, but
make sure to be transparent.

Here is a YouTube channel all about investment banking and hedge funds/ private equity. This
is coming from the non-quantitative side of things and probably refers to Macro or ELS (Equity
Long/Short) funds more than quant funds and is also more M&A (Mergers and Acquisitions)
than S&T (Sales and Trading), but that doesn’t really matter because the recruiting processes
are basically the same. Some really good videos about coffee chats. The fact is that you will
be sending 1000s of cold emails/LinkedIn messages. Kris Sidial would follow senior people
to work and give them his resume, and he’s doing very well now. Don’t be embarrassed to do
this because otherwise someone else will. The competition is massive so the process for
recruiting is ruthless. The usual process is:

• Cold email/LinkedIn/twitter message (Be thoughtful there are guides in the YT channel
for all of these parts btw)
• Attempt to get a call. This is your chance to shine and why you’ve been reading piles of
textbooks. You need to be impressive because otherwise they won’t want the next step
• Coffee chat. Try and get an in person meeting. You should be subtle about it but once
it is going well ask about internships. The entire product of all this effort is to get a
single comment from them to HR in the break room along the lines of “If you see an
application from xx, he really knows what he’s talking about and is really interested”.
https://www.youtube.com/c/PeakFrameworks

Another tip I will give is that showing that you can learn fast and are willing to put in those
hours to get there is just as important as knowing what you are talking about.

A great article about careers from some top industry characters. I will highlight a quote that I
really took away from it and personally agree with. It is a lot easier to teach a mathematician

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 QUANT ROADMAP

to trade than a trader to solve PDEs. The math you learn in your degree is a way of thinking as
much as it is useful

https://notion.moontowermeta.com/career-advice

For those looking to learn derivatives and volatility and work on an exotics desk at an investment
bank (one of the best ways to learn), in addition to the resources posted earlier Benn Eifert on
Twitter often posts interview questions that can’t be found elsewhere.

Here is a good channel for careers for extra.

https://www.youtube.com/c/DimitriBianco

50
Chapter 18 Arbitrage Guide

This chapter will mostly focus on arbitrage in digital assets, as this is where I am most familiar
with the topic. There are many different pieces of knowledge involved. Some are more general
like how to use limit orders to improve a strategy (and this relates heavily to market making),
and then there are components that are specific to each trade.

I’ve talked about the specifics of each trade before in these articles:

1. Funding Arbitrage [part 1]

2. Triangular Arbitrage [link]
3. Spot Arbitrage [part 1] [part 2]
4. Perpetuals Arbitrage [link]
5. Event Arbitrage [Substack] [Twitter]

I’ve written about how to optimize the latency component here, and I’ve also talked about
execution components here, but also as part of a general article on how to improve arbitrages
from a higher level perspective (improvements that apply to all arbitrages)

For funding arbitrages, there are these websites to scan for them (but I recommend you build
your own):

• Bybitpremiums [link]
• Bybitpremiums Liquidity Goblin [link]
• Coinglass [link] [link2]
• Crypto and Carry [link]
• Crypto Funding Tracker [link]
• Coinalyze [link]

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 QUANT ROADMAP

Here are some alternative blog articles on funding rate arbitrage:

1. https://blog.biqutex.com/funding-rate-arbitrage/
2. https://medium.com/@Xulian0x/mastering-funding-rate-arbitrage-in-crypto-a-
comprehensive-guide-27b4c3bb0f90
3. h ttp s: // www.bina n ce.com/en/suppo r t/faq /what-is-the-binance-fun ding -
rate-arbitrage-bot-and-how-does-it-work-f330e17d6fc04679b9b21d6f935
0e787
4. https://blog.amberdata.io/the-ultimate-guide-to-funding-rate-arbitrage-amberdata
5. https://learn.bybit.com/bybit-guide/bybit-funding-fee-arbitrage/
6. https://academy.synfutures.com/funding-rate-arbitrage-in-crypto-exchanges-
opportunities-and-risks/
7. https://docs.trade.polynomial.fi/strategies-and-tools/funding-rate-arbitrage-101
8. https://medium.com/@blex_education/funding-rate-arbitrage-guide-59d4878539ba

For cross-exchange spot arbitrages, here are some scanner sites, but again I recommend you
code up your own because many exchanges have wash flow or the data can be inaccurate. It’s
very important that you are able to control the data yourself to ensure this. These are great for
finding new exchanges or opportunities to add new features:

1. Free Crypto Arbitrage [link]

2. Xpher [link]

52
Chapter 19 Market Making Guide

Market making isn’t the easiest way to make money – that’s for sure, but it scales a lot better
than arbitrage strategies, and you don’t have to worry about the trade eventually dying out.
You can still have your lunch eaten, and markets can still get more competitive over time, but
with arbitrage you know there will be a day when you can no longer compete, and you need to
constantly think about growing into a new trade.

For many people, that new trade is market making. They begin making into the arbitrage to try
and get a leg-up on their competitors and improve their fills, and in no time they are market
making. This is a common path I tend to hear about and have experienced it myself.

Now, that I’ve talked a bit about how people end up doing it – let’s get down to what matters.
Your priorities are as follows:

1. Edge
2. Spreads
3. Risk

Edge manifests itself via your ability to accurately forecast mid-price, and to react to events
with low enough latency. If you consider yourself more of a statistical person, and don’t know
what you are doing on the latency front – either prepare to learn or move up into the minute
frequency because you need to optimize latency at some point in the trade. That or pick an
absurdly inefficient market.

Spreads are about how wide you are. It’s not so much how wide you are on average, that’s
actually quite easy to tune. Say I want to be X% of the volume in this asset, I tune my spreads
until I am. You can also tune off PNL, but that’s a lot noisier so that component that tunes your
spread should focus over a longer period of time, with a much shorter tuning based around the
volume of the asset.

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 QUANT ROADMAP

A starting point of reference for your spreads can be the EWMA of the spread width over time.
This will put you in a bad position if spreads blow out, so your next step is figuring out when
this is wrong – i.e. when this is the worst advice you’ve ever heard.

Economic events are an obvious time when you may not want to be quoting. There’s going to
be a brief few seconds where everyone who trades are the people who have just got the event
data before you could and are now on a mission to eat your lunch, but prior to the event…
go-ahead, at that point it’s just retail goons who want to bet on CPI. That is unless you suspect
information leakage… there’s a Nanex article on that, which is one of many reasons I’ve put it
in the HFT resources.

Now, on to risk. This is the part that gets focused on the most by everyone. It’s the reason
you see these complicated equations to balance your inventory, but in reality it’s not a great
idea to do that. Those correlations you see in your models don’t necessarily hold and they can
often be a reason for your algorithm to take on tons of *toxic* inventory because it believes
it’s fully hedged against another asset. In this regard, you get adverse filled against when
this correlation does not hold. You get adverse filled against damn near anything you can be
adverse filled on in all honesty.

Going back to edge. How long should my forecast horizon be? Well, it’s based on how long
you expect to hold. That’s the period you care about after all. That said, we can see a pretty
exponential decay in the level of signal once filled when measuring adversity, and you probably
wouldn’t want to get a fill like that to begin with. That said, if you are extremely fast and only
care about the ultra-short-term then forecast out that far, because that’s where you have the
best forecasting edge anyways. The same rule is a bit iffier when it comes to whether you
should just ignore adversity if you plan on holding inventory for longer – at that point you end
up thinking about taking, and can treat the adversity as a trading cost.

These are just my thoughts afterall, but I think it’s a half decent run through on the basics of
it all. Keep refining your system with new insights – it’s all quite mechanical and clear afterall,
and eventually you’ll make money.

54
Chapter 20 Pairs Trading Guide

Pairs trading is an ever evolving field, to start let’s go through some articles. I think @systematicls
on Twitter has one of the best articles out there where he implements a statistical arbitrage
strategy. I also have a section of my blog with many articles on there related to pairs trading.

Some resources:

• Article on eigenportfolios.
• Github full of pairs trading strategies
• Great article by liquidity goblin on eyeballing spread
• Articles by H&T
• Guide by H&T
• Ready-to-run strategies on QC (free):
o https://www.quantconnect.com/research/15298/
pairs-trading-copula-vs-cointegration/p1
o https://www.quantconnect.com/research/15347/intraday-dynamic-
pairs-trading-using-correlation-and-cointegration-approach/
p1
o https://www.quantconnect.com/research/15300/pairs-trading-with-stocks/p1
o https://www.quantconnect.com/research/15299/pairs-trading-with-country-etfs/p1
o https://www.quantconnect.com/research/15355/
mean-reversion-statistical-arbitrage-strategy-in-stocks/p1

55
Chapter 21 Seasonality Guide

On the blog I have a full overview of seasonality strategies already so I’ve linked that below:

https://www.algos.org/p/seasonality-a-comprehensive-overview

I also co-wrote a paper on a strategy that generalizes seasonality with HangukQuant. Here’s
the PNL curve when applied to crypto markets (curve is smoother when trading many coins):

https://www.algos.org/p/seasonality-in-commodities-markets
Chapter 22 Momentum Guide

I wrote this a while ago on my blog so I won’t re-write it, but I will link to resources.

https://www.algos.org/p/breaking-down-momentum-strategies
Chapter 23 Blogs To Read

Blogs are often a great place to find novel ideas and information that is very practically minded compared
to academic literature. If you exclusively read papers, you’ll get bogged down in academics and emerge
with the same habits as them – overcomplicated methodologies that lead to precisely wrong instead
of roughly right answers.

- The Quant Stack [link] - Quantifiable Edges [link]

- The Quant Playbook [link] - Quant Insti [link]
- HangukQuant [link] - Milton FMR [link]
- VertoxQuant [link] - Quant Start [link]
- Diary of a Quant [link] - Chase The Devil [link]
- Low Latency Trading Insights [link] - Clarus FT [link]
- TaiwanQuant [link] - Quants R Us [link]
- Algo Trading & AI [link] - Quantlib [link]
- Zero Cost Abstractions [link] - Implementing Quantlib [link]
- EntropyChase [link] - HPC Quantlib [link]
- Liquidity Goblin [link] - Oxford Strat [link]
- Quantocracy [link] - r/quant on reddit
- Ed West [link] - Nanex [link]
- Quant Trading Rules [link] - Parasec [link]
- Alpha Architect [link] - Ricky Han [link]
- Quantpedia [link] - Quant Stack Exchange [link]
- OSM [link] - Max Dama (really good) [link]
- Portfolio Optimizer [link]
- Mark Best [link]
- Dekalog Blog [link-1] [link-2]
- Finomial [link]
- Alvarez Quant Trading [link]
- Allocate Smartly [link]
- Robot Wealth [link]
Chapter 24 Twitter Accounts To Follow

Twitter is one of the best resources out the for information, so short of my own handle @
quant_arb, I figured I would list off some accounts that I feel are worth following.

There will be a lot of accounts below, there is no particular order and my inclusion is in no way
a recommendation of their content as high quality. It’s a rough guess that based on what I’ve
seen (which may be a couple tweets, it may be almost all of their tweets) that it’s worth staying
tuned into. There are people on this list I think sometimes produce content that isn’t the best,
but they are included because they have produced great content on other occasions.

To me being worth following simply means there is a reasonable expectation they may provide
some value to your feed at some point in the future. That said, many of these consistently
output bangers. But yes, some of these accounts may be LARPs so please diversify who you
listen to for there is no true messiah.

And yes, there are a lot of accounts, but I’m sure the algorithm will filter out the bad ones for
you regardless. It’s a busy list, and I’m sure a couple will be less than useful, but many are great!

1. Vertox_DF 13. Oxbquant 25. LilQwantXBT

2. Ninjaquant_ 14. PtrPomorski 26. GryptoGoon
3. BeatzXBT 15. MoonDevOnYT 27. QuantFiction
4. Gumby_arc 16. 0xLoris 28. Idro___
5. Dub0x3A 17. Gametheorizing 29. Predict_addict
6. stalequant 18. Quantseeker 30. ScottPh77711570
7. LiquidityGoblin 19. Globalflows 31. OnlyDeFiGuy
8. 0xfdf 20. QuantumHoneybee 32. Larpcapitalwc
9. Systematicls 21. CMTDIntern 33. Citrini7
10. __paleologo 22. Mevintern 34. Super_macro
11. SeattleISmith 23. toxic_intern 35. EntropyChase
12. TaiwanQuant 24. TimMeggs 36. GoblinCap_
 QUANT ROADMAP

37. OxLouisT 73. GautierMarti1 109. HariPKrishnan2

38. Yenwod_ 74. Hughesanalytics 110. FadingRallies
39. Quantaraum 75. Eigensteve 111. Macropotamus
40. Nik_algo 76. IDrawCharts 112. Conejocapital
41. KrisMachowski 77. Technicallyrain 113. Dirty_swan
42. BlackSwan_ptf 78. Bookdepth 114. Choffstein
43. DegenQuant 79. Quantpedia 115. VolatilityVIX
44. DrApeLincoln 80. cryptoquantHQ 116. QuantVol
45. CheifGolem 81. nadogoyard 117. Volmagorov
46. InvestingIdiocy 82. weaponizedFOMO 118. Salr_nyc
47. HighFreqAsuka 83. folkvangtrading 119. Krisabdelmessih
48. Quantymacro 84. bahamastrading 120. Therobotjames
49. Phoenixstealthy 85. sisSoftware 121. FinancePirates
50. EquidityCapital 86. 0xLightcycle 122. Timebargains
51. NikitaAFadeev 87. 0xdoug 123. QuantSymplectic
52. TradingTrotter 88. Robertmartin88 124. CapitalParadox
53. Benjaminwfelix 89. Wifeyalpha 125. Macrocephalopod
54. Valkmit 90. Macroalf 126. ShedCapitalLLC
55. OrthogonalAlpha 91. Mikeharrisny 127. Nope_its_lily
56. Sasuke___420 92. Carlcarrie 128. Quantkaks
57. Just_a_stream 93. NotoriousLOB 129. Lightspringfox
58. Worstcontrarian 94. HangukQuant 130. Pyquantnews
59. 0xTurdleTrader 95. Minimalexcess 131. Christinaqi
60. PenguinsTrading 96. FabiusMercurius 132. goshawktrades
61. Josusanmartin 97. Macro_synergy
62. Dfauchier 98. EmanualDerman
63. Macrocharts 99. Quantian1
64. Louis_hyper 100. Ryxcommar
65. Perfiliev 101. Quantrob
66. Ltrd_ 102. Shubham_quant
67. Mikevanrossum 103. QTRResearch
68. AgustinLebron3 104. Nntaleb
69. Crypto_hades 105. Squeezemetrics
70. Mgnr_io 106. SinclairEuan
71. Alex_bcg 107. Quantocracy
72. Robot_wealth 108. Ksidiii

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Chapter 25 How To Learn This Material

In my view, this chapter is as important as any other chapter in this document. It is the multiplier
that will be applied to everything you learn. If you have a terrible method of learning, then it will
be 0. I will not be talking about bullshit focus tricks or giving a ted talk. Just talking about what
is useful and what is not.

Firstly, you won’t read all of this content. There’s no way and even if you do manage it then you
have not spent your time well. You should be constantly filtering down, finding what’s most
relevant to you, and most importantly SKIMMING. Most chapters make their points quickly,
same with most books. A lot of books – especially non-textbook ones, make a couple of points
and then spend the rest of the book rambling. Go read the black swan for an example of a petit
philosopher with a couple great points nestled in between there.

When it comes to filtering, you can often get the PDF online, through various means. Avoid
libgen for free PDFs and make sure not to accidentally go to sci-hub (any of it’s endings, .se,
.st, .ru, etc) for free papers. Skimming PDFs and the contents is a nice and fast way to get an
idea of if a book is relevant to you or not.

Now, the most important part – what you do with this knowledge. You should implement it,
talk about it, write your notes about it, hey, maybe even tweet about it. Any way you can find to
ensure that this information doesn’t go in one ear and out the other.

A lot of material (papers, textbooks, blogs) are useless, and worse they’re often not accurate.
You need to be implementing these things and seeing if they really would make money in
production. Live PNL, calculated of your own doing, and not an overfit backtest they’ve sneakily
presented to you, is the only way to truly judge a strategy, but you can at least do your own
research.

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Not only will you build practical research skills (which frankly toying around with Pandas and
knowing your way about the research process is half the knowledge anyways), you’ll learn the
right knowledge by building your intuition for what actually looks valuable to you.

I cannot stress this enough – if you do not approach everything with a goal of making PNL as
fast as possible, then you will get nowhere. Even Citadel asks this of it’s researchers. How can
I make money today? @TheRobotJames talks about this a lot, and has many great intuitive
explainers on general advice, but my advice to you is to follow the money. Aiming to make real
PNL keeps you away from nerd holes. It keeps you from spending months building a neural
network only to realize it doesn’t work. You should’ve figured this out days ago, but you decided
to spend 3 weeks building a fast backtester for it in Rust first that only really works with this
algorithm specifically.

Avoid building too much tooling or vanity projects. I have had this conversation with many
senior quants and we all complain about the same thing junior researchers do. They all want
to build things! Stop trying to build a pretty dashboard, cool backtester, or any of this stuff
unless you have needed it multiple times in a row and know for certain that given the amount
it’s *already* happened it’s worth implementing. DO NOT BUILD UNLESS IT IS NECESSARY. So
many researchers get into this terrible hole of wanting to build things and doing it on company
time. If you want to toy around with Rust, but honestly should be using Python – go build
in Python and build the cool Rust project on your own time. This is maybe a professional
complaint in some ways, but it’s good advice. Those ideas that sound fun to work on aren’t
always what you should be working on. Sometimes it’s grinding out simple CTA strategies and
mastering plain old regressions.

The glitzy neural networks and machine learning projects fall under this as well. If you are well
and truly excited about a project – whilst this will make you very motivated and I don’t dare to
discount that, you need to also think about whether this is what you *should* be working on or
is some interesting fun little model / project. Is it complicated or involves building things that
don’t immediately make money… especially if you aren’t a dev? If yes, maybe reconsider.

Also, nothing has to be read in full. I don’t read anything in full – certainly not papers, and don’t
tick anything off as read. You’ll forget great wisdoms overtime or perhaps you read it at the
start of your career and didn’t fully appreciate some of the advice because it was boring, and
about linear regressions (and all you wanted to hear about was cool fancy models). Re-reading

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 O ptimi z ation (D eterministic & S tochastic)

what you mentally have ticked off as having read is not always such a bad idea, or re-skimming
rather.

I’ve seen fancy models work, but from my own experiences – they take a damn long while of
mastering that specific niche to really start making money with. Took me about 2 years with
pairs trading of non-stop hammering out hundreds of notebooks (yes, hundreds and hundreds)
before I felt I truly had some theories that gave me a leg up on people in terms of understanding
the space.

Don’t write notes for the sake of notes. If you find yourself looking for notes to write, and
not writing them out because you are truly inspired by what you have read then don’t bother.
You won’t remember it after the fact, and you certainly won’t be doing much more than copy
pasting. If you read something, think oh wow that’s really interesting, and then write the notes
– especially in absence of the actual material next to you (so it’s just your memory of the idea)
then those notes start to be useful.

I write my blog articles and tweets often from ideas I’ve had in conversations, the work I’m doing,
the material I’ve read, and even day to day inspirations. They don’t come from reading chapter
4 of a textbook and regurgitating it because there’s nothing of value there – especially not to
you and for your own thought development. Notes must come from your own interpretation
and understanding of the material and not from blatant copying of it- that is the only time
notetaking shines as a source of valuable learning.

Some take notes and re-read them, I sometimes re-read my notes, but I do most of my learning
when I actually write them instead because it forces me to neatly organize my ideas. It’s a great
channel for cleaning up your understanding on the topic. Nowadays with ChatGPT, there’s no
use in summarizing texts in your notes, the AI can do that for you.

When you catch yourself tying concepts together in ways that weren’t described in the material
and making those connections, that’s when your note taking is working. Same with the research.
When you have an idea, and you start pulling on your knowledge bank of “hey I saw this effect
in commodities, I wonder if it works in crypto”, and then “I think funding rates are a big factor in
crypto… hey what if instead of using volume + momentum like in commodities, I used funding
rates and momentum”, and suddenly you are making your own strategies. They may suck – in
fact, they usually do (you won’t realize this at the start though because you’ll be too busy

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overfitting and looking ahead, but you’ll come around), but it’s a learning process, and as you
develop your theories and ideas of what works, you’ll eventually get there.

It’s been quite a long chapter, a text heavy one, but I think it’s important to distill what I’ve
learned for the next generation of quants and I hope this section will be as treasured as the rest
of the book because it’s as important in my view.

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Chapter 26 Other Roadmaps

• Vertox’s Resource List

• Moontower’s Resource List (Best our there for options)
• Moontower’s Blogs & Online Writers
• Options Starter Pack
• QM’s Textbooks
• QuantGuide (Paid, but good for interview prep – there’s also plenty of textbooks for this
like Heard on The Street)

Old axioma papers are worth reading, if you can find them. Same with the old GS quant
publications. Sell-side research tends to be quite high quality if you get it from banks, but of
course the research is not easy to get a hold of.

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 Credits

If you received this document, you probably have my contacts anyways so feel free to ask
questions, but I also have a few worthwhile threads on twitter at:

https://twitter.com/quant_arb

-Quant Arb / BBM

Big thanks to the rest of the editorial team:

Rayyy, BlueCrab, DegenQuant, & TKShadow

And to all of those who sent in their contributions!