# QuantResearch

* [Backtest](./backtest)
* [Machine Learning and Deep Reinforcement Learning](./ml) 
* [Online Resources](./Resources.md)
* [Live Trading Demo Video](https://youtu.be/CrsrTxqiXNY)

## Notebooks and Blogs

|Index |Notebooks                                                                         |Blogs        |
|----:|:---------------------------------------------------------------------------------|-----------:|
|1 |  [Portfolio Optimization One](./notebooks/portfolio_management_one.py)    |[link](https://letianzj.github.io/portfolio-management-one.html)|
|2 |  [Value at Risk One](./notebooks/value_at_risk_one.py)    |[link](https://letianzj.github.io/value-at-risk-one.html)|
|3 |  [Classical Linear Regression](./notebooks/classical_linear_regression.py)    |[link](https://letianzj.github.io/classical-linear-regression.html)|
|4 |  [Bayesian Linear Regression](./notebooks/bayesian_linear_regression.py)    |[link](https://letianzj.github.io/bayesian-linear-regression.html)|
|5 |  [MCMC Linear Regression](./notebooks/mcmc_linear_regression.py)    |[link](https://letianzj.github.io/mcmc-linear-regression.html)|
|6 |  [Kalman Filter Linear Regression](./notebooks/kalman_filter_linear_regression.py)    |[link](https://letianzj.github.io/kalman-filter-linear-regression.html)|
|7 |  [Tensorflow Linear Regression](./notebooks/tensorflow_linear_regression.ipynb)    |[link](https://letianzj.github.io/tensorflow-linear-regression.html)|
|8 |  [quanttrader](https://github.com/letianzj/quanttrader)    |[link](https://letianzj.github.io/quanttrading-backtest.html)|
|9 |  [Mean Reversion](./notebooks/mean_reversion.py)    |[link](https://letianzj.github.io/mean-reversion.html)|
|10 |  [Cointegration and Pairs Trading](./notebooks/cointegration_pairs_trading.py)    |[link](https://letianzj.github.io/cointegration-pairs-trading.html)|
|11 |  [Kalman Filter and Pairs Trading](./notebooks/pairs_trading_kalman_filter.py)    |[link](https://letianzj.github.io/kalman-filter-pairs-trading.html)|
|12 |  [Hidden Markov Chain](./notebooks/hidden_markov_chain.py)    |[link](https://letianzj.github.io/hidden-markov-chain.html)|
|13 |  [RNN Stock Prediction](./notebooks/rnn_stock_prediction.py)    |[link](https://letianzj.github.io/rnn-stock-prediction.html)|
|14 |  [Principal Componenet Analysis](./notebooks/ch1_pca_relative_value.ipynb)    |[link](https://letianzj.gitbook.io/systematic-investing/products_and_methodologies/fixed_income)|
|15 |  [ARIMA and GARCH Models](./notebooks/arima_garch.ipynb)    |[link](https://letianzj.github.io/arima-garch-model.html)|
|16 |  [Fama-French three-factor](./notebooks/fama_french.ipynb)    | |
|17 |  [Vector AutoRegression](./notebooks/vector_autoregression.ipynb)    | |
|18 |  [Gaussian Mixture and Markov Switching](./notebooks/gaussian_mixture_markov_switching.ipynb)    |[link](https://letianzj.github.io/gaussian-mixture-markov-regime-switching.html)|
|19 |  [Portfolio Optimization Two](./backtest/portfolio_optimization.py)    |[link](https://letianzj.github.io/portfolio-management-two.html)|
|20 |  [Volume Factor Evaluation Alphalens](./notebooks/volume_factor_alphalens.ipynb)    | |
|21 |  [Reinforcement Backtest](./backtest/trading_env.py)    | |
|22 |  [Reinforcement Option Pricing](./ml/american_option.ipynb)    |[link](https://medium.com/@letian.zj/option-pricing-using-reinforcement-learning-ad2ddca7735b)|
|23 |  [Irregular Interval EMA](https://github.com/letianzj/quanttrader/blob/master/examples/strategy/moving_average_cross_strategy.py)    |[link](https://letianzj.github.io/exponential-moving-average.html)|
|24 |  [Free Historical Market Data Download](./backtest/hist_downloader.py)    |[link](https://medium.com/@letian.zj/free-historical-market-data-download-in-python-74e8edd462cf?source=friends_link&sk=5af814910524a593353ed3146290d50e)|
|25 |  [Market Profile and Volume Profile](./market/market_profile.ipynb)    |[link](https://medium.com/@letian.zj/market-profile-and-volume-profile-in-python-139cb636ece?source=friends_link&sk=fd883f5fefab725f14d6ddbb3d271fa7)|
|26 |  [From Reinforcement Gamer to Reinforcement Trader](https://letian-wang.medium.com/from-reinforcement-gamer-to-reinforcement-trader-8b0a7ef8b53f?source=friends_link&sk=c540c7a48421c7d4de9c934a7d1a7842)    | [link](./ml/reinforcement_trader.ipynb) |
|27 |  [Reinforcement Portfolio Manager](./ml/reinforcement_pm.ipynb)    | wip |

```python

```