flowchart LR
subgraph EFF["Market Efficiency Foundations"] fama_emh["Efficient Market HypothesisEugene F. Fama (1970) 'Efficient Capital Markets'"] samuelson_random["Properly Anticipated Prices Fluctuate RandomlyPaul A. Samuelson (1965)"] malkiel_random_walk["Random Walk HypothesisBurton G. Malkiel (1973) 'A Random Walk Down Wall Street'"] grossman_stiglitz["Grossman-Stiglitz ParadoxGrossman and Stiglitz (1980) 'On the Impossibility of Informationally Efficient Markets'"] lo_adaptive_markets["Adaptive Markets HypothesisAndrew W. Lo (2004)"] mehra_prescott_puzzle["Equity Premium PuzzleMehra and Prescott (1985) 'The Equity Premium: A Puzzle'"] triumph_optimists["Triumph of the OptimistsDimson, Marsh and Staunton (2002)"] siegel_stocks_long_run["Stocks for the Long RunJeremy J. Siegel (1994)"] end fama_emh --- samuelson_random fama_emh --- malkiel_random_walk fama_emh --- grossman_stiglitz samuelson_random --- malkiel_random_walk grossman_stiglitz --- lo_adaptive_markets grossman_stiglitz --- pedersen_efficiently_inefficient lo_adaptive_markets --- malkiel_random_walk mehra_prescott_puzzle --- triumph_optimists mehra_prescott_puzzle --- siegel_stocks_long_run triumph_optimists --- siegel_stocks_long_run
subgraph ASP["Asset Pricing Models"] markowitz_mpt["Modern Portfolio TheoryHarry Markowitz (1952) 'Portfolio Selection'"] tobin_separation["Tobin Separation TheoremJames Tobin (1958) 'Liquidity Preference as Behavior Towards Risk'"] capm["Capital Asset Pricing ModelSharpe (1964), Lintner (1965), Mossin (1966)"] ross_apt["Arbitrage Pricing TheoryStephen A. Ross (1976)"] merton_icapm["Intertemporal CAPMRobert C. Merton (1973)"] breeden_ccapm["Consumption CAPMDouglas T. Breeden (1979)"] fama_french_3["Fama-French Three-Factor ModelFama and French (1992, 1993)"] fama_french_5["Fama-French Five-Factor ModelFama and French (2015)"] carhart_4["Carhart Momentum FactorMark M. Carhart (1997) 'On Persistence in Mutual Fund Performance'"] black_litterman["Black-Litterman ModelBlack and Litterman (1992) 'Global Portfolio Optimization'"] end markowitz_mpt --- tobin_separation markowitz_mpt --- capm tobin_separation --- capm capm --- ross_apt capm --- merton_icapm merton_icapm --- breeden_ccapm capm --- fama_french_3 fama_french_3 --- fama_french_5 fama_french_3 --- carhart_4 fama_french_5 --- carhart_4 black_litterman --- markowitz_mpt black_litterman --- capm
subgraph FAC["Factor Investing and Cross-Sectional Anomalies"] banz_size["Size PremiumRolf W. Banz (1981)"] graham_dodd_value["Value InvestingGraham and Dodd (1934) 'Security Analysis'"] novy_marx_profit["Profitability PremiumRobert Novy-Marx (2013) 'The Other Side of Value'"] quality_minus_junk["Quality Minus JunkAsness, Frazzini and Pedersen (2019)"] baker_low_vol["Low-Volatility AnomalyBaker, Bradley and Wurgler (2011) 'Benchmarks as Limits to Arbitrage'"] arnott_fundamental_index["Fundamental IndexationArnott, Hsu and Moore (2005)"] alquist_size_effect["Size Factor: Small Capitalization Stocks PremiumAlquist, Israel and Moskowitz (2018) 'Fact, Fiction, and the Size Effect'"] asness_value_ff["Value (Book-to-Market) FactorAsness, Frazzini, Israel and Moskowitz (2015) 'Fact, Fiction, and Value Investing'"] asness_momentum_ff["Momentum Factor Effect in StocksAsness, Frazzini, Israel and Moskowitz (2014) 'Fact, Fiction and Momentum Investing'"] cooper_asset_growth["Asset Growth EffectCooper, Gulen and Schill (2008) 'Asset Growth and the Cross-Section of Stock Returns'"] lev_nissim_accrual["Persistence of the Accruals AnomalyLev and Nissim (2004)"] kozlov_petajisto_eq["Earnings Quality FactorKozlov and Petajisto (2012) 'Global Return Premiums on Earnings Quality, Value, and Size'"] ang_factor["Factor InvestingAndrew Ang (2014) 'Asset Management'"] ilmanen_expected["Expected ReturnsAntti Ilmanen (2011)"] pedersen_efficiently_inefficient["Efficiently InefficientLasse Heje Pedersen (2015)"] end fama_french_3 --- banz_size fama_french_3 --- graham_dodd_value fama_french_5 --- novy_marx_profit novy_marx_profit --- quality_minus_junk graham_dodd_value --- novy_marx_profit capm --- baker_low_vol banz_size --- baker_low_vol arnott_fundamental_index --- graham_dodd_value arnott_fundamental_index --- fama_french_3 banz_size --- alquist_size_effect asness_value_ff --- graham_dodd_value asness_momentum_ff --- carhart_4 cooper_asset_growth --- fama_french_5 lev_nissim_accrual --- sloan_accrual kozlov_petajisto_eq --- sloan_accrual kozlov_petajisto_eq --- graham_dodd_value ang_factor --- fama_french_3 ang_factor --- ilmanen_expected ilmanen_expected --- carhart_4 pedersen_efficiently_inefficient --- quality_minus_junk
subgraph XSMOM["Cross-Sectional Momentum and Earnings Drift"] jegadeesh_titman["Cross-Sectional MomentumJegadeesh and Titman (1993) 'Returns to Buying Winners and Selling Losers'"] chan_jegadeesh_lakonishok["Price and Earnings MomentumChan, Jegadeesh and Lakonishok (1996) 'Momentum Strategies'"] moskowitz_grinblatt["Industry MomentumMoskowitz and Grinblatt (1999) 'Do Industries Explain Momentum?'"] rouwenhorst_intl["International MomentumK. Geert Rouwenhorst (1998)"] griffin_global_mom["Global Momentum and Business CyclesGriffin, Ji and Martin (2003)"] amp_value_momentum["Value and Momentum EverywhereAsness, Moskowitz and Pedersen (2013)"] novy_marx_intermediate["Intermediate-Horizon MomentumRobert Novy-Marx (2012) 'Is Momentum Really Momentum?'"] george_hwang_52wk["52-Week High MomentumGeorge and Hwang (2004)"] ball_brown["Earnings Announcement Drift OriginBall and Brown (1968)"] bernard_thomas_pead["Post-Earnings-Announcement DriftBernard and Thomas (1989)"] daniel_moskowitz_crashes["Momentum CrashesDaniel and Moskowitz (2016)"] barroso_santa_clara["Volatility-Managed MomentumBarroso and Santa-Clara (2015) 'Momentum Has Its Moments'"] blitz_residual_momentum["Residual Momentum FactorBlitz, Huij and Martens (2011) 'Residual Momentum'"] lou_polk_skouras["Overnight Versus Intraday ReturnsLou, Polk and Skouras (2019) 'A Tug of War'"] gray_vogel_qm["Quantitative Momentum: A Practitioner's GuideGray and Vogel (2016)"] sapp_mf_momentum["Momentum in Mutual Fund ReturnsTravis Sapp (2010) 'The 52-Week High, Momentum, and Predicting Mutual Fund Returns'"] chen_chou_hsieh["Consistent Momentum StrategyChen, Chou and Hsieh (2015) 'Persistency of the Momentum Effect'"] wei_mom_reversal["Momentum and Reversal Combined with Volatility Effect in StocksJason Zhanshun Wei (2011) 'Do Momentum and Reversals Coexist?'"] tibbs_style_rotation["Momentum Factor and Style Rotation EffectTibbs, Eakins and DeShurko (2008) 'Using Style Index Momentum to Generate Alpha'"] nyberg_poyry["Momentum Factor Combined with Asset Growth EffectNyberg and Poyry (2011) 'Firm Expansion and Stock Price Momentum'"] hong_jordan_liu["52-Weeks High Effect in StocksHong, Jordan and Liu (2011) 'Industry Information and the 52-Week High Effect'"] end jegadeesh_titman --- chan_jegadeesh_lakonishok jegadeesh_titman --- moskowitz_grinblatt jegadeesh_titman --- rouwenhorst_intl rouwenhorst_intl --- griffin_global_mom griffin_global_mom --- amp_value_momentum amp_value_momentum --- jegadeesh_titman jegadeesh_titman --- novy_marx_intermediate novy_marx_intermediate --- george_hwang_52wk chan_jegadeesh_lakonishok --- bernard_thomas_pead ball_brown --- bernard_thomas_pead ball_brown --- chan_jegadeesh_lakonishok jegadeesh_titman --- daniel_moskowitz_crashes daniel_moskowitz_crashes --- barroso_santa_clara barroso_santa_clara --- blitz_residual_momentum blitz_residual_momentum --- jegadeesh_titman moskowitz_grinblatt --- blitz_residual_momentum lou_polk_skouras --- jegadeesh_titman lou_polk_skouras --- george_hwang_52wk gray_vogel_qm --- jegadeesh_titman gray_vogel_qm --- george_hwang_52wk sapp_mf_momentum --- george_hwang_52wk sapp_mf_momentum --- carhart_4 chen_chou_hsieh --- jegadeesh_titman wei_mom_reversal --- jegadeesh_titman wei_mom_reversal --- jegadeesh_short_reversal tibbs_style_rotation --- moskowitz_grinblatt nyberg_poyry --- cooper_asset_growth nyberg_poyry --- jegadeesh_titman hong_jordan_liu --- george_hwang_52wk hong_jordan_liu --- moskowitz_grinblatt
subgraph TREND["Trend Following and Time-Series Momentum"] mop_tsm["Time Series Momentum EffectMoskowitz, Ooi and Pedersen (2012) 'Time Series Momentum'"] hurst_century_trend["A Century of Evidence on Trend-FollowingHurst, Ooi and Pedersen (2017)"] covel_trend_following["Trend FollowingMichael W. Covel (2004)"] faith_turtle["Way of the TurtleCurtis M. Faith (2007)"] covel_turtletrader["The Complete TurtleTraderMichael W. Covel (2007)"] antonacci_dual["Dual MomentumGary Antonacci (2014)"] faber_gtaa["Asset Class Trend-Following (GTAA)Mebane T. Faber (2007) 'A Quantitative Approach to Tactical Asset Allocation'"] faber_ivy["The Ivy PortfolioMebane T. Faber (2009)"] faber_relative_strength["Momentum Asset Allocation Strategy / Sector Momentum Rotational SystemMebane T. Faber (2010) 'Relative Strength Strategies for Investing'"] wilcox_crittenden["Trend-following Effect in StocksWilcox and Crittenden (2005) 'Does Trend Following Work on Stocks?'"] maewal_bock["Paired SwitchingMaewal and Bock (2011) 'Paired-Switching for Tactical Portfolio Allocation'"] faber_global_value["Value Factor: CAPE Effect within CountriesMebane T. Faber (2012) 'Global Value'"] end mop_tsm --- hurst_century_trend mop_tsm --- jegadeesh_titman mop_tsm --- antonacci_dual hurst_century_trend --- covel_trend_following covel_trend_following --- faith_turtle covel_trend_following --- covel_turtletrader faith_turtle --- covel_turtletrader antonacci_dual --- faber_gtaa antonacci_dual --- jegadeesh_titman faber_gtaa --- faber_ivy faber_gtaa --- mop_tsm faber_relative_strength --- faber_gtaa faber_relative_strength --- tibbs_style_rotation wilcox_crittenden --- covel_trend_following wilcox_crittenden --- mop_tsm maewal_bock --- faber_gtaa faber_global_value --- faber_ivy faber_global_value --- graham_dodd_value
subgraph REV["Reversal, Mean Reversion and Statistical Arbitrage"] debondt_thaler_overreaction["Long-Term OverreactionDe Bondt and Thaler (1985) 'Does the Stock Market Overreact?'"] jegadeesh_short_reversal["Short-Term ReversalNarasimhan Jegadeesh (1990) 'Evidence of Predictable Behavior of Security Returns'"] lehmann_weekly["Weekly ReversalBruce N. Lehmann (1990) 'Fads, Martingales, and Market Efficiency'"] lo_mackinlay_contrarian["Contrarian ProfitsLo and MacKinlay (1990) 'When Are Contrarian Profits Due to Stock Market Overreaction?'"] gatev_pairs["Pairs Trading with StocksGatev, Goetzmann and Rouwenhorst (2006) 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule'"] vidyamurthy_pairs["Pairs Trading: Quantitative MethodsGanapathy Vidyamurthy (2004)"] wang_yu_futures_reversal["Short Term Reversal with FuturesWang and Yu (2004) 'Trading Activity and Price Reversals in Futures Markets'"] degroot_reversal_costs["Short Term Reversal Effect in Stocksde Groot, Huij and Zhou (2012) 'Another Look at Trading Costs and Short-Term Reversal Profits'"] so_wang_news_reversal["Reversal During Earnings-AnnouncementsSo and Wang (2014) 'News-Driven Return Reversals'"] zhu_sun_chen_fscore["Combining Fundamental FSCORE and Equity Short-Term ReversalsZhu, Sun and Chen (2017) 'Noise Trading, Slow Diffusion of Information, and Short-Term Reversals'"] schizas_etf_pairs["Pairs Trading with Country ETFsSchizas, Thomakos and Wang (2011) 'Pairs Trading on International ETFs'"] end debondt_thaler_overreaction --- lo_mackinlay_contrarian debondt_thaler_overreaction --- jegadeesh_short_reversal jegadeesh_short_reversal --- lehmann_weekly lehmann_weekly --- lo_mackinlay_contrarian lo_mackinlay_contrarian --- gatev_pairs gatev_pairs --- vidyamurthy_pairs gatev_pairs --- jegadeesh_short_reversal wang_yu_futures_reversal --- jegadeesh_short_reversal degroot_reversal_costs --- jegadeesh_short_reversal so_wang_news_reversal --- degroot_reversal_costs so_wang_news_reversal --- bernard_thomas_pead zhu_sun_chen_fscore --- degroot_reversal_costs zhu_sun_chen_fscore --- piotroski_fscore schizas_etf_pairs --- gatev_pairs vidyamurthy_pairs --- engle_granger_coint
subgraph CARRY["Carry, Term Structure and Commodity Premia"] koijen_carry["Carry EverywhereKoijen, Moskowitz, Pedersen and Vrugt (2018) 'Carry'"] lustig_currency_carry["Dollar Carry TradeLustig, Roussanov and Verdelhan (2011) 'Countercyclical Currency Risk Premia'"] burnside_carry["Carry Trade Payoffs and RisksBurnside, Eichenbaum and Rebelo (2011)"] db_currency_returns["FX Carry Trade / Currency Momentum Factor / Currency Value Factor PPP StrategyDeutsche Bank Global Markets Research (2009) 'db Currency Returns'"] keynes_backwardation["Normal BackwardationJohn Maynard Keynes (1930) 'A Treatise on Money'"] working_storage["Theory of StorageHolbrook Working (1949)"] erb_harvey["Commodity Futures Return DecompositionErb and Harvey (2006) 'The Strategic and Tactical Value of Commodity Futures'"] gorton_rouwenhorst["Facts and Fantasies about Commodity FuturesGorton and Rouwenhorst (2006)"] miffre_rallis["Momentum Effect in CommoditiesMiffre and Rallis (2007) 'Momentum Strategies in Commodity Futures Markets'"] fuertes_miffre_rallis["Term Structure Effect in CommoditiesFuertes, Miffre and Rallis (2010) 'Tactical Allocation in Commodity Futures Markets'"] fernandez_perez_skew["Skewness Effect in CommoditiesFernandez-Perez, Frijns, Fuertes and Miffre (2018) 'The Skewness of Commodity Futures Returns'"] durian_padysak["Return Asymmetry Effect in Commodity FuturesDurian and Padysak (2021) 'Return Asymmetry in Commodity Futures'"] dunis_wti_brent["Trading WTI/BRENT SpreadDunis, Laws and Evans (2010) 'Trading and Filtering Futures Spread Portfolios'"] end koijen_carry --- lustig_currency_carry koijen_carry --- burnside_carry lustig_currency_carry --- burnside_carry lustig_currency_carry --- db_currency_returns db_currency_returns --- burnside_carry keynes_backwardation --- working_storage working_storage --- erb_harvey erb_harvey --- gorton_rouwenhorst gorton_rouwenhorst --- keynes_backwardation miffre_rallis --- mop_tsm miffre_rallis --- fuertes_miffre_rallis fuertes_miffre_rallis --- working_storage fernandez_perez_skew --- gorton_rouwenhorst fernandez_perez_skew --- mitton_vorkink_skew durian_padysak --- fernandez_perez_skew dunis_wti_brent --- vidyamurthy_pairs koijen_carry --- amp_value_momentum erb_harvey --- koijen_carry
subgraph VAL["Value, Quality and Defensive Anchors"] lsv_contrarian["Contrarian Investment, Extrapolation, and RiskLakonishok, Shleifer and Vishny (1994)"] piotroski_fscore["Piotroski F-ScoreJoseph D. Piotroski (2000)"] sloan_accrual["Accrual AnomalyRichard G. Sloan (1996)"] asness_fight_fed["Fight the Fed ModelClifford S. Asness (2003)"] maio_fed_model["The FED Model and Expected Asset ReturnsPaulo F. Maio (2008)"] blitz_vanvliet_vol["Low Volatility Factor Effect in StocksBlitz and van Vliet (2007) 'The Volatility Effect'"] frazzini_pedersen_bab["Betting Against Beta Factor in Stocks and International EquitiesFrazzini and Pedersen (2014) 'Betting Against Beta'"] nagy_esg["ESG Factor Momentum StrategyNagy, Kassam and Lee (2016) 'Can ESG Add Alpha?'"] esg_stochastic["ESG, Price Momentum and Stochastic OptimizationQuantpedia"] chan_rd["R&D Expenditures and Stock ReturnsChan, Lakonishok and Sougiannis (2001) 'The Stock Market Valuation of R&D Expenditures'"] chen_zhang_qfactor["ROA Effect within StocksChen and Zhang (2010) 'A Better Three-Factor Model That Explains More Anomalies'"] frazzini_lamont_eap["The Earnings Announcement Premium and Trading VolumeFrazzini and Lamont (2007)"] amini_singal["Earnings Announcements Combined with Stock RepurchasesAmini and Singal (2015) 'Predictability of Earnings around Corporate Actions'"] blitz_vanvliet_gtaa["Value and Momentum Factors across Asset ClassesBlitz and van Vliet (2008) 'Global Tactical Cross-Asset Allocation'"] end lsv_contrarian --- debondt_thaler_overreaction lsv_contrarian --- graham_dodd_value piotroski_fscore --- lsv_contrarian piotroski_fscore --- sloan_accrual sloan_accrual --- bernard_thomas_pead asness_fight_fed --- maio_fed_model maio_fed_model --- fama_french_3 blitz_vanvliet_vol --- frazzini_pedersen_bab frazzini_pedersen_bab --- baker_low_vol frazzini_pedersen_bab --- amp_value_momentum nagy_esg --- gray_vogel_qm nagy_esg --- esg_stochastic chan_rd --- bernard_thomas_pead chan_rd --- novy_marx_profit chen_zhang_qfactor --- fama_french_5 chen_zhang_qfactor --- cooper_asset_growth frazzini_lamont_eap --- bernard_thomas_pead amini_singal --- frazzini_lamont_eap blitz_vanvliet_gtaa --- amp_value_momentum blitz_vanvliet_gtaa --- faber_gtaa
subgraph CAL["Calendar and Seasonality Anomalies"] rozeff_kinney_january["January EffectRozeff and Kinney (1976) 'Capital Market Seasonality'"] french_weekend["Weekend EffectKenneth R. French (1980)"] haugen_lakonishok_january["The Incredible January EffectHaugen and Lakonishok (1988)"] lakonishok_smidt["Calendar Anomalies Ninety-Year PerspectiveLakonishok and Smidt (1988)"] ariel_holiday["Holiday EffectRobert A. Ariel (1990)"] bouman_jacobsen_halloween["Halloween Indicator: Sell in MayBouman and Jacobsen (2002)"] hirshleifer_shumway_sun["Good Day Sunshine: Weather and Stock ReturnsHirshleifer and Shumway (2003)"] heston_sadka_seas["12 Month Cycle in Cross-Section of Stocks ReturnsHeston and Sadka (2008) 'Seasonality in the Cross-Section of Expected Stock Returns'"] cooper_jan_barometer["January BarometerCooper, McConnell and Ovtchinnikov (2009)"] xu_mcconnell_tom["Turn of the Month in Equity IndexesXu and McConnell (2006) 'Equity Returns at the Turn of the Month'"] ma_pratt_payday["Payday AnomalyMa and Pratt (2018)"] stivers_sun_opex["Option-Expiration Week EffectStivers and Sun (2011)"] padysak_vojtko_btc["Overnight Seasonality in BitcoinPadysak and Vojtko (2022) 'Seasonality, Trend-following, and Mean Reversion in Bitcoin'"] vojtko_overnight_sentiment["Market Sentiment and an Overnight AnomalyVojtko and Hanicova (2021)"] end rozeff_kinney_january --- haugen_lakonishok_january rozeff_kinney_january --- lakonishok_smidt french_weekend --- lakonishok_smidt lakonishok_smidt --- ariel_holiday lakonishok_smidt --- xu_mcconnell_tom bouman_jacobsen_halloween --- rozeff_kinney_january hirshleifer_shumway_sun --- bouman_jacobsen_halloween heston_sadka_seas --- rozeff_kinney_january heston_sadka_seas --- jegadeesh_titman cooper_jan_barometer --- rozeff_kinney_january xu_mcconnell_tom --- ma_pratt_payday ma_pratt_payday --- ariel_holiday stivers_sun_opex --- xu_mcconnell_tom stivers_sun_opex --- avellaneda_lipkin_pinning padysak_vojtko_btc --- lou_polk_skouras vojtko_overnight_sentiment --- padysak_vojtko_btc vojtko_overnight_sentiment --- lou_polk_skouras
subgraph SENT["Sentiment, Flows and Cross-Asset Signals"] bernile_lyandres_soccer["Soccer Clubs' Stocks ArbitrageBernile and Lyandres (2009) 'Understanding Investor Sentiment: The Case of Soccer'"] driesprong_oil["Crude Oil Predicts Equity ReturnsDriesprong, Jacobsen and Maat (2008) 'Striking Oil: Another Puzzle?'"] padysak_lending["Synthetic Lending Rates Predict Subsequent Market ReturnMatus Padysak (2021)"] hanicova_lexical["How to Use Lexical Density of Company FilingsHanicova, Kalus and Vojtko (2021)"] padysak_filings["The Positive Similarity of Company Filings and Stock ReturnsMatus Padysak (2020)"] padysak_smart_factors["Combining Smart Factors Momentum and Market PortfolioMatus Padysak (2020) 'The Active vs Passive: Smart Factors, Market Portfolio or Both?'"] hanicova_rebal_premium["Rebalancing Premium in CryptocurrenciesHanicova and Vojtko (2021)"] akbas_short_interest["Short Interest Effect: Long-Short VersionAkbas, Boehmer, Erturk and Sorescu (2017) 'Why Do Short Interest Levels Predict Stock Returns?'"] end bernile_lyandres_soccer --- hirshleifer_shumway_sun bernile_lyandres_soccer --- debondt_thaler_overreaction driesprong_oil --- granger_causality driesprong_oil --- gorton_rouwenhorst padysak_lending --- akbas_short_interest padysak_lending --- frazzini_pedersen_bab hanicova_lexical --- padysak_filings hanicova_lexical --- sloan_accrual padysak_filings --- bernard_thomas_pead padysak_smart_factors --- amp_value_momentum padysak_smart_factors --- bogle_index hanicova_rebal_premium --- qian_risk_parity hanicova_rebal_premium --- padysak_vojtko_btc akbas_short_interest --- jegadeesh_short_reversal akbas_short_interest --- miller_overpricing
subgraph OPT["Options and Volatility"] subgraph OPTF["Pricing Foundations"] black_scholes["Black-Scholes ModelBlack and Scholes (1973) 'The Pricing of Options and Corporate Liabilities'"] merton_rational["Merton Rational Option PricingRobert C. Merton (1973)"] stoll_pcp["Put-Call ParityHans R. Stoll (1969)"] crr_binomial["Binomial Option Pricing ModelCox, Ross and Rubinstein (1979)"] black76["Black-76 Futures Options ModelFischer Black (1976) 'The Pricing of Commodity Contracts'"] harrison_kreps["Martingale Pricing: Fundamental TheoremHarrison and Kreps (1979)"] hull_derivatives["Hull: Options, Futures, and Other DerivativesJohn C. Hull (1989)"] wilmott_qf["Paul Wilmott on Quantitative FinancePaul Wilmott (2000)"] end subgraph VOLM["Volatility Models and the Smile"] merton_jump["Merton Jump-Diffusion ModelRobert C. Merton (1976)"] heston_sv["Heston Stochastic Volatility ModelSteven L. Heston (1993)"] dupire_local_vol["Dupire Local VolatilityBruno Dupire (1994) 'Pricing with a Smile'"] rubinstein_trees["Implied Binomial Trees / Post-1987 SmileMark Rubinstein (1994)"] hagan_sabr["SABR ModelHagan, Kumar, Lesniewski and Woodward (2002) 'Managing Smile Risk'"] bergomi_smile["Bergomi Smile DynamicsLorenzo Bergomi (2004)"] gatheral_surface["The Volatility SurfaceJim Gatheral (2006)"] rebonato_volcorr["Volatility and CorrelationRiccardo Rebonato (1999)"] gatheral_rough["Rough VolatilityGatheral, Jaisson and Rosenbaum (2018) 'Volatility Is Rough'"] engle_arch["ARCHRobert F. Engle (1982)"] bollerslev_garch["GARCHTim Bollerslev (1986)"] end subgraph VARINSTR["Variance Swaps and Volatility Indexes"] whaley_vix["Whaley VIX DerivationRobert E. Whaley (1993) 'Derivatives on Market Volatility'"] carr_madan_vs["Variance Swap ReplicationCarr and Madan (1998) 'Towards a Theory of Volatility Trading'"] britten_neuberger["Model-Free Implied VarianceBritten-Jones and Neuberger (2000)"] cboe_vix["CBOE VIX MethodologyCBOE (2003) white paper"] end subgraph OPTP["Trading and Hedging Practice"] option_greeks["The GreeksJohn C. Hull (1989) 'Options, Futures, and Other Derivatives'"] natenberg["Natenberg: Option Volatility and PricingSheldon Natenberg (1994)"] sinclair_vol_trading["Sinclair: Volatility TradingEuan Sinclair (2008)"] sinclair_option_trading["Sinclair: Option TradingEuan Sinclair (2010)"] taleb_dynamic_hedging["Taleb: Dynamic HedgingNassim Nicholas Taleb (1997)"] avellaneda_lipkin_pinning["Stock Pinning at ExpirationAvellaneda and Lipkin (2003)"] bennett_trading_vol["Trading Volatility, Correlation, Term Structure and SkewColin Bennett (2014)"] end subgraph VOLPREM["Option and Volatility Risk Premia"] bakshi_kapadia_vrp["Volatility Risk PremiumBakshi and Kapadia (2003) 'Delta-Hedged Gains'"] carr_wu_vrp["Variance Risk PremiumsCarr and Wu (2009)"] coval_shumway["Volatility Risk Premium EffectCoval and Shumway (2001) 'Expected Option Returns'"] egloff_leippold_wu["Variance Risk Premium Term StructureEgloff, Leippold and Wu (2010)"] israelov_nielsen_cc["Covered Call Strategies: One Fact and Eight MythsIsraelov and Nielsen (2014)"] callan_bxm["BXM Buy-Write IndexCallan Associates (2006)"] cboe_put["PUT Put-Write IndexCBOE (2007)"] mitton_vorkink_skew["Skewness Preference / Lottery DemandMitton and Vorkink (2007)"] bali_murray_skew["Risk-Neutral Skewness PremiumBali and Murray (2013)"] driessen_dispersion["Dispersion TradingDriessen, Maenhout and Vilkov (2009) 'The Price of Correlation Risk'"] end end black_scholes --- merton_rational black_scholes --- stoll_pcp black_scholes --- crr_binomial black_scholes --- black76 merton_rational --- harrison_kreps crr_binomial --- rubinstein_trees black76 --- keynes_backwardation hull_derivatives --- option_greeks wilmott_qf --- hull_derivatives black_scholes --- merton_jump merton_jump --- heston_sv heston_sv --- dupire_local_vol dupire_local_vol --- rubinstein_trees heston_sv --- hagan_sabr hagan_sabr --- bergomi_smile bergomi_smile --- gatheral_surface gatheral_surface --- dupire_local_vol gatheral_surface --- gatheral_rough gatheral_rough --- bollerslev_garch rebonato_volcorr --- hagan_sabr engle_arch --- bollerslev_garch bollerslev_garch --- heston_sv whaley_vix --- cboe_vix carr_madan_vs --- britten_neuberger britten_neuberger --- cboe_vix carr_madan_vs --- dupire_local_vol cboe_vix --- bakshi_kapadia_vrp option_greeks --- natenberg natenberg --- sinclair_vol_trading natenberg --- sinclair_option_trading sinclair_vol_trading --- sinclair_option_trading taleb_dynamic_hedging --- option_greeks taleb_dynamic_hedging --- natenberg avellaneda_lipkin_pinning --- option_greeks bennett_trading_vol --- rebonato_volcorr bennett_trading_vol --- egloff_leippold_wu bakshi_kapadia_vrp --- carr_wu_vrp carr_wu_vrp --- egloff_leippold_wu carr_wu_vrp --- carr_madan_vs coval_shumway --- bakshi_kapadia_vrp coval_shumway --- bali_murray_skew israelov_nielsen_cc --- callan_bxm israelov_nielsen_cc --- cboe_put callan_bxm --- cboe_put cboe_put --- bakshi_kapadia_vrp mitton_vorkink_skew --- bali_murray_skew bali_murray_skew --- coval_shumway driessen_dispersion --- bennett_trading_vol driessen_dispersion --- bakshi_kapadia_vrp
subgraph PCON["Portfolio Construction and Allocation"] qian_risk_parity["Risk ParityEdward Qian (2005) 'Risk Parity Portfolios'"] erc_maillard["Equal Risk ContributionMaillard, Roncalli and Teiletche (2010)"] hrp_ldp["Hierarchical Risk ParityMarcos Lopez de Prado (2016) 'Building Diversified Portfolios that Outperform Out of Sample'"] dalio_all_weather["All Weather StrategyRay Dalio (2017) 'Principles'"] browne_permanent["Permanent PortfolioHarry Browne (1999) 'Fail-Safe Investing'"] swensen_endowment["Endowment ModelDavid F. Swensen (2000) 'Pioneering Portfolio Management'"] grinold_kahn_law["Fundamental Law of Active ManagementGrinold and Kahn (1995) 'Active Portfolio Management'"] grinold_kahn_risk["Active Risk DecompositionGrinold and Kahn (2000)"] barra_model["Barra Factor Risk ModelBarr Rosenberg (1974) 'Extra-Market Components of Covariance'"] carver_systematic["Systematic Trading: A Unique New Method for Designing Trading and Investing SystemsRobert Carver (2015)"] carver_leveraged["Leveraged Trading: A Professional ApproachRobert Carver (2019)"] chincarini_kim["Quantitative Equity Portfolio ManagementChincarini and Kim (2006)"] tomasini_jaekle["Trading Systems: A New Approach to System Development and Portfolio Optimisation / Trading Systems 2nd edition: a new approach to system development and portfolio optimisationTomasini and Jaekle (2009, 2019)"] guo_lai_quant_trading["Quantitative Trading: Algorithms, Analytics, Data, Models, OptimizationGuo, Lai, Shek and Wong (2017)"] grinold_kahn_advances["Advances in Active Portfolio Management: New Developments in Quantitative InvestingGrinold and Kahn (2020)"] end qian_risk_parity --- erc_maillard erc_maillard --- hrp_ldp hrp_ldp --- markowitz_mpt qian_risk_parity --- dalio_all_weather dalio_all_weather --- browne_permanent browne_permanent --- bogle_index swensen_endowment --- dalio_all_weather swensen_endowment --- markowitz_mpt grinold_kahn_law --- grinold_kahn_risk grinold_kahn_law --- information_ratio grinold_kahn_risk --- barra_model barra_model --- fama_french_3 carver_systematic --- carver_leveraged carver_systematic --- mop_tsm carver_leveraged --- kelly_criterion chincarini_kim --- grinold_kahn_law chincarini_kim --- barra_model tomasini_jaekle --- markowitz_mpt guo_lai_quant_trading --- grinold_kahn_law grinold_kahn_law --- grinold_kahn_advances
subgraph PERF["Performance Measurement"] sharpe_ratio["Sharpe RatioWilliam F. Sharpe (1966) 'Mutual Fund Performance'"] sortino_ratio["Sortino Ratio and Downside DeviationSortino and van der Meer (1991) 'Downside Risk'"] treynor_ratio["Treynor RatioJack L. Treynor (1965)"] jensens_alpha["Jensen's AlphaMichael C. Jensen (1968)"] information_ratio["Information RatioThomas H. Goodwin (1998) 'The Information Ratio'"] calmar_ratio["Calmar Ratio and Maximum DrawdownTerry W. Young (1991)"] ulcer_index["Ulcer IndexMartin and McCann (1989) 'The Investor's Guide to Fidelity Funds'"] end sharpe_ratio --- sortino_ratio sharpe_ratio --- treynor_ratio sharpe_ratio --- information_ratio treynor_ratio --- capm treynor_ratio --- jensens_alpha jensens_alpha --- capm jensens_alpha --- grinold_kahn_law information_ratio --- grinold_kahn_law sortino_ratio --- roy_safety_first calmar_ratio --- ulcer_index calmar_ratio --- sharpe_ratio ulcer_index --- sortino_ratio
subgraph SIZE["Position Sizing and Money Management"] kelly_criterion["Kelly CriterionJohn L. Kelly Jr. (1956) 'A New Interpretation of Information Rate'"] thorp_beat_dealer["Beat the DealerEdward O. Thorp (1962)"] kelly_capital_growth["Kelly Capital Growth CriterionMacLean, Thorp and Ziemba (2011)"] fortunes_formula["Fortune's FormulaWilliam Poundstone (2005)"] vince_fixed_fractional["Fixed Fractional SizingRalph Vince (1990) 'Portfolio Management Formulas'"] vince_optimal_f["Optimal fRalph Vince (1992) 'The Mathematics of Money Management'"] vince_risk_of_ruin["Risk of RuinRalph Vince (1992) 'The Mathematics of Money Management'"] jones_fixed_ratio["Fixed Ratio SizingRyan Jones (1999) 'The Trading Game'"] elder_two_percent["Two Percent RuleAlexander Elder (2002) 'Come Into My Trading Room'"] tharp_r_multiples["R-Multiples and ExpectancyVan K. Tharp (1998) 'Trade Your Way to Financial Freedom'"] davey_monte_carlo["Monte Carlo Drawdown SimulationKevin J. Davey (2014) 'Building Winning Algorithmic Trading Systems'"] end kelly_criterion --- thorp_beat_dealer kelly_criterion --- kelly_capital_growth kelly_criterion --- fortunes_formula thorp_beat_dealer --- fortunes_formula kelly_criterion --- vince_optimal_f vince_fixed_fractional --- vince_optimal_f vince_optimal_f --- vince_risk_of_ruin vince_risk_of_ruin --- davey_monte_carlo jones_fixed_ratio --- vince_optimal_f elder_two_percent --- vince_fixed_fractional elder_two_percent --- vince_risk_of_ruin tharp_r_multiples --- vince_fixed_fractional tharp_r_multiples --- davey_monte_carlo davey_monte_carlo --- walk_forward_pardo
subgraph DD["Drawdown and Dynamic Risk Control"] roy_safety_first["Safety-First PrincipleA. D. Roy (1952) 'Safety First and the Holding of Assets'"] grossman_zhou_dd["Drawdown-Constrained Optimal GrowthGrossman and Zhou (1993)"] chekhlov_cdar["Conditional Drawdown at RiskChekhlov, Uryasev and Zabarankin (2005)"] kaminski_lo_stoploss["When Do Stop-Loss Rules Stop Losses?Kaminski and Lo (2014)"] moreira_muir_volman["Volatility-Managed PortfoliosMoreira and Muir (2017)"] harvey_vol_target["The Impact of Volatility TargetingHarvey, Hoyle, Korgaonkar, Rattray, Sargaison and Van Hemert (2018)"] spitznagel_tail["Tail Risk HedgingMark Spitznagel (2013) 'The Dao of Capital'"] end roy_safety_first --- markowitz_mpt grossman_zhou_dd --- kelly_criterion grossman_zhou_dd --- calmar_ratio chekhlov_cdar --- rockafellar_cvar chekhlov_cdar --- grossman_zhou_dd kaminski_lo_stoploss --- elder_two_percent kaminski_lo_stoploss --- mop_tsm moreira_muir_volman --- harvey_vol_target moreira_muir_volman --- barroso_santa_clara harvey_vol_target --- qian_risk_parity harvey_vol_target --- kaminski_lo_stoploss spitznagel_tail --- taleb_antifragile spitznagel_tail --- bakshi_kapadia_vrp
subgraph VARTAIL["VaR and Tail Measurement"] jorion_var["Value at RiskPhilippe Jorion (1997) 'Value at Risk'"] artzner_coherent["Coherent Measures of RiskArtzner, Delbaen, Eber and Heath (1999)"] rockafellar_cvar["CVaR OptimizationRockafellar and Uryasev (2000)"] acerbi_tasche_es["Expected Shortfall CoherenceAcerbi and Tasche (2002)"] embrechts_evt["Extreme Value Theory for FinanceEmbrechts, Kluppelberg and Mikosch (1997) 'Modelling Extremal Events'"] kupiec_stress["Stress Testing in a VaR FrameworkPaul H. Kupiec (1998)"] basel_1996["Basel Market Risk AmendmentBasel Committee on Banking Supervision (1996)"] frtb_2016["FRTB Expected Shortfall RegimeBasel Committee on Banking Supervision (2016) 'Minimum Capital Requirements for Market Risk'"] end jorion_var --- artzner_coherent artzner_coherent --- rockafellar_cvar rockafellar_cvar --- acerbi_tasche_es acerbi_tasche_es --- frtb_2016 embrechts_evt --- jorion_var embrechts_evt --- mandelbrot_fat_tails kupiec_stress --- jorion_var kupiec_stress --- basel_1996 basel_1996 --- frtb_2016 jorion_var --- engle_arch
subgraph CRISIS["Fat Tails, Crises and Risk Philosophy"] mandelbrot_fat_tails["Stable Paretian Fat TailsBenoit Mandelbrot (1963) 'The Variation of Certain Speculative Prices'"] mandelbrot_misbehavior["The (Mis)behavior of MarketsMandelbrot and Hudson (2004)"] taleb_fooled["Fooled by RandomnessNassim Nicholas Taleb (2001)"] taleb_black_swan["The Black SwanNassim Nicholas Taleb (2007)"] taleb_antifragile["AntifragileNassim Nicholas Taleb (2012)"] taleb_skin["Skin in the GameNassim Nicholas Taleb (2018)"] bali_max_lottery["MAX Lottery EffectBali, Cakici and Whitelaw (2011) 'Maxing Out'"] crisis_alpha["Crisis AlphaHurst, Ooi and Pedersen (2017) 'A Century of Evidence on Trend-Following Investing'"] bookstaber_demon["A Demon of Our Own DesignRichard Bookstaber (2007)"] when_genius_failed["When Genius Failed: LTCMRoger Lowenstein (2000)"] bernstein_against_gods["Against the Gods: The Remarkable Story of RiskPeter L. Bernstein (1996)"] brown_red_blooded["Red-Blooded RiskAaron Brown (2011)"] graham_margin_of_safety["Margin of SafetyBenjamin Graham (1949) 'The Intelligent Investor'"] miller_overpricing["Divergence of Opinion and OverpricingEdward M. Miller (1977) 'Risk, Uncertainty, and Divergence of Opinion'"] end mandelbrot_fat_tails --- mandelbrot_misbehavior mandelbrot_fat_tails --- taleb_black_swan mandelbrot_misbehavior --- taleb_fooled taleb_fooled --- taleb_black_swan taleb_black_swan --- taleb_antifragile taleb_antifragile --- taleb_skin taleb_fooled --- vince_risk_of_ruin bali_max_lottery --- mitton_vorkink_skew bali_max_lottery --- taleb_black_swan crisis_alpha --- hurst_century_trend crisis_alpha --- kaminski_lo_stoploss bookstaber_demon --- when_genius_failed bookstaber_demon --- taleb_black_swan when_genius_failed --- kelly_criterion when_genius_failed --- graham_margin_of_safety bernstein_against_gods --- brown_red_blooded bernstein_against_gods --- jorion_var brown_red_blooded --- bookstaber_demon graham_margin_of_safety --- graham_dodd_value graham_margin_of_safety --- roy_safety_first miller_overpricing --- taleb_fooled miller_overpricing --- debondt_thaler_overreaction
subgraph BTEST["Backtesting and Strategy Validation"] ldp_afml["Advances in Financial Machine LearningMarcos Lopez de Prado (2018)"] walk_forward_pardo["Walk-Forward AnalysisRobert Pardo (2008) 'The Evaluation and Optimization of Trading Strategies'"] aronson_ebta["Evidence-Based Technical AnalysisDavid Aronson (2006)"] bailey_pbo["Probability of Backtest OverfittingBailey, Borwein, Lopez de Prado and Zhu (2017)"] chan_quant_trading["Quantitative TradingErnest P. Chan (2008)"] chan_algo_trading["Algorithmic Trading: Winning Strategies and Their RationaleErnest P. Chan (2013)"] chan_machine_trading["Machine Trading: Deploying Computer Algorithms to Conquer the MarketsErnest P. Chan (2017)"] bandy_qta["Quantitative Technical AnalysisHoward B. Bandy (2015)"] durenard_pat["Professional Automated TradingEugene A. Durenard (2013)"] velu_atqs["Algorithmic Trading and Quantitative StrategiesVelu, Hardy and Nehren (2020)"] grimes_ta["The Art and Science of Technical AnalysisAdam Grimes (2012)"] davey_intro_algo["Introduction To Algo TradingKevin J. Davey (2020)"] end ldp_afml --- bailey_pbo ldp_afml --- deflated_sharpe ldp_afml --- gu_kelly_xiu walk_forward_pardo --- aronson_ebta walk_forward_pardo --- bailey_pbo aronson_ebta --- whites_reality_check bailey_pbo --- deflated_sharpe chan_quant_trading --- chan_algo_trading chan_algo_trading --- chan_machine_trading chan_algo_trading --- engle_granger_coint chan_machine_trading --- jansen_ml4t bandy_qta --- aronson_ebta durenard_pat --- chan_algo_trading velu_atqs --- ldp_afml grimes_ta --- aronson_ebta grimes_ta --- covel_trend_following davey_intro_algo --- davey_monte_carlo
subgraph STATVAL["Multiple Testing and Statistical Validation"] deflated_sharpe["Deflated Sharpe RatioBailey and Lopez de Prado (2014)"] whites_reality_check["White's Reality CheckHalbert White (2000) 'A Reality Check for Data Snooping'"] hansen_spa["Superior Predictive Ability TestPeter Reinhard Hansen (2005)"] model_confidence_set["Model Confidence SetHansen, Lunde and Nason (2011)"] harvey_liu_zhu["Multiple Testing and the Cross-Section of Expected ReturnsHarvey, Liu and Zhu (2016)"] harvey_liu_backtest["Backtesting: Haircut Sharpe RatiosHarvey and Liu (2015)"] benjamini_hochberg["False Discovery Rate ControlBenjamini and Hochberg (1995)"] lo_mackinlay_snooping["Data-Snooping Biases in Asset Pricing TestsLo and MacKinlay (1990)"] brown_survivorship["Survivorship Bias in Performance StudiesBrown, Goetzmann, Ibbotson and Ross (1992)"] diebold_mariano["Diebold-Mariano TestDiebold and Mariano (1995) 'Comparing Predictive Accuracy'"] stationary_bootstrap["Stationary BootstrapPolitis and Romano (1994)"] end deflated_sharpe --- sharpe_ratio deflated_sharpe --- harvey_liu_backtest whites_reality_check --- hansen_spa whites_reality_check --- stationary_bootstrap hansen_spa --- model_confidence_set model_confidence_set --- diebold_mariano harvey_liu_zhu --- harvey_liu_backtest harvey_liu_zhu --- benjamini_hochberg harvey_liu_zhu --- fama_french_3 benjamini_hochberg --- whites_reality_check lo_mackinlay_snooping --- whites_reality_check lo_mackinlay_snooping --- brown_survivorship brown_survivorship --- walk_forward_pardo stationary_bootstrap --- hansen_spa diebold_mariano --- m_competitions
subgraph ML["Machine Learning for Finance"] esl["The Elements of Statistical LearningHastie, Tibshirani and Friedman (2001)"] breiman_rf["Random ForestsLeo Breiman (2001)"] xgboost["XGBoostChen and Guestrin (2016)"] deep_learning_book["Deep LearningGoodfellow, Bengio and Courville (2016)"] lstm["Long Short-Term MemoryHochreiter and Schmidhuber (1997)"] sutton_barto_rl["Reinforcement Learning: An IntroductionSutton and Barto (1998)"] jansen_ml4t["Machine Learning for Algorithmic TradingStefan Jansen (2020)"] dixon_ml_finance["Machine Learning in Finance: From Theory to PracticeDixon, Halperin and Bilokon (2020)"] kelly_xiu_survey["Financial Machine LearningKelly and Xiu (2023)"] gu_kelly_xiu["Empirical Asset Pricing via Machine LearningGu, Kelly and Xiu (2020)"] ldp_ml_asset["Machine Learning for Asset ManagersMarcos Lopez de Prado (2020)"] hilpisch_ai_finance["Artificial Intelligence in FinanceYves Hilpisch (2020)"] end esl --- breiman_rf breiman_rf --- xgboost deep_learning_book --- lstm sutton_barto_rl --- dixon_ml_finance jansen_ml4t --- ldp_afml jansen_ml4t --- gu_kelly_xiu dixon_ml_finance --- deep_learning_book dixon_ml_finance --- sutton_barto_rl kelly_xiu_survey --- gu_kelly_xiu kelly_xiu_survey --- esl gu_kelly_xiu --- breiman_rf gu_kelly_xiu --- harvey_liu_zhu ldp_ml_asset --- ldp_afml ldp_ml_asset --- hrp_ldp hilpisch_ai_finance --- jansen_ml4t
subgraph TSEC["Time-Series Econometrics"] clm_econometrics["The Econometrics of Financial MarketsCampbell, Lo and MacKinlay (1997)"] tsay_afts["Analysis of Financial Time SeriesRuey S. Tsay (2001)"] hamilton_tsa["Time Series AnalysisJames D. Hamilton (1994)"] hamilton_regime["Markov Regime SwitchingJames D. Hamilton (1989)"] box_jenkins["Box-Jenkins ARIMABox and Jenkins (1970) 'Time Series Analysis: Forecasting and Control'"] granger_causality["Granger CausalityClive W. J. Granger (1969)"] engle_granger_coint["Engle-Granger CointegrationEngle and Granger (1987)"] johansen_test["Johansen Cointegration TestSoren Johansen (1991)"] dickey_fuller["Dickey-Fuller TestDickey and Fuller (1979)"] sims_var["Vector AutoregressionChristopher A. Sims (1980) 'Macroeconomics and Reality'"] lo_mackinlay_vr["Variance Ratio TestLo and MacKinlay (1988) 'Stock Market Prices Do Not Follow Random Walks'"] kalman_filter["Kalman FilterRudolf E. Kalman (1960)"] m_competitions["M-CompetitionsSpyros Makridakis et al. (1982)"] gencay_hff["An Introduction to High-Frequency FinanceGencay, Dacorogna, Muller, Pictet and Olsen (2001)"] end clm_econometrics --- lo_mackinlay_vr clm_econometrics --- tsay_afts tsay_afts --- bollerslev_garch tsay_afts --- box_jenkins hamilton_tsa --- hamilton_regime hamilton_tsa --- kalman_filter hamilton_tsa --- sims_var box_jenkins --- m_competitions box_jenkins --- dickey_fuller granger_causality --- sims_var granger_causality --- engle_granger_coint engle_granger_coint --- johansen_test engle_granger_coint --- dickey_fuller johansen_test --- sims_var lo_mackinlay_vr --- fama_emh lo_mackinlay_vr --- dickey_fuller kalman_filter --- vidyamurthy_pairs kalman_filter --- hamilton_regime gencay_hff --- tsay_afts gencay_hff --- hasbrouck_empirical hamilton_regime --- lo_adaptive_markets
subgraph MICRO["Market Microstructure"] subgraph MICT["Microstructure Theory"] harris_trading_exchanges["Trading and Exchanges: Market Microstructure for PractitionersLarry Harris (2003)"] ohara_mm_theory["Market Microstructure TheoryMaureen O'Hara (1995)"] hasbrouck_empirical["Empirical Market MicrostructureJoel Hasbrouck (2007)"] foucault_liquidity["Market Liquidity: Theory, Evidence, and PolicyFoucault, Pagano and Roell (2013)"] bouchaud_tqp["Trades, Quotes and PricesBouchaud, Bonart, Donier and Gould (2018)"] lehalle_practice["Market Microstructure in PracticeLehalle and Laruelle (2013)"] garman_1976["Market Microstructure (Garman)Mark B. Garman (1976)"] demsetz_cost["The Cost of TransactingHarold Demsetz (1968)"] bagehot_1971["The Only Game in TownWalter Bagehot / Jack L. Treynor (1971)"] ho_stoll_dealer["Optimal Dealer PricingHo and Stoll (1981)"] roll_spread["Roll's Implicit Spread EstimatorRichard Roll (1984)"] glosten_milgrom["Glosten-Milgrom Specialist ModelGlosten and Milgrom (1985)"] kyle_lambda["Kyle's LambdaAlbert S. Kyle (1985) 'Continuous Auctions and Insider Trading'"] glosten_lob["Electronic Limit Order Book ModelLawrence R. Glosten (1994)"] hasbrouck_info_share["Hasbrouck Information ShareJoel Hasbrouck (1995) 'One Security, Many Markets'"] easley_pin["PIN: Probability of Informed TradingEasley, Kiefer, O'Hara and Paperman (1996)"] parlour_queue["Limit Order Queue DynamicsChristine A. Parlour (1998)"] vpin_toxicity["VPIN and Flow ToxicityEasley, Lopez de Prado and O'Hara (2012)"] cont_impact["Order Flow Price ImpactCont, Kukanov and Stoikov (2014)"] end subgraph EXEC["Optimal Execution and Market Making"] perold_shortfall["Implementation ShortfallAndre F. Perold (1988)"] berkowitz_vwap["VWAP BenchmarkBerkowitz, Logue and Noser (1988) 'The Total Cost of Transactions on the NYSE'"] bertsimas_lo_exec["Optimal Control of Execution CostsBertsimas and Lo (1998)"] almgren_chriss["Almgren-Chriss Optimal ExecutionAlmgren and Chriss (2001)"] kissell_glantz["Optimal Trading StrategiesKissell and Glantz (2003)"] almgren_sqrt["Square-Root Market Impact LawAlmgren, Thum, Hauptmann and Li (2005)"] obizhaeva_wang["Supply/Demand Execution DynamicsObizhaeva and Wang (2013)"] avellaneda_stoikov["Avellaneda-Stoikov Market MakingAvellaneda and Stoikov (2008) 'High-frequency trading in a limit order book'"] gueant_liquidity["The Financial Mathematics of Market LiquidityOlivier Gueant (2016)"] cartea_hft["Algorithmic and High-Frequency TradingCartea, Jaimungal and Penalva (2015)"] kissell_methods["Algorithmic Trading MethodsRobert Kissell (2020)"] johnson_dma["Algorithmic Trading and DMA: An Introduction to Direct Access Trading StrategiesBarry Johnson (2010)"] narang_black_box["Inside the Black Box: A Simple Guide to Quantitative and High Frequency TradingRishi K. Narang (2009)"] end subgraph MKTDESIGN["Market Design, Latency and HFT"] harris_tick["Tick Size EconomicsLawrence E. Harris (1994) 'Minimum Price Variations'"] madhavan_mechanisms["Trading Mechanisms TaxonomyAnanth Madhavan (1992)"] madhavan_auctions["Opening Auction Price DiscoveryMadhavan and Panchapagesan (2000)"] esser_moench_iceberg["Iceberg (Hidden) OrdersEsser and Moench (2007) 'The Navigation of an Iceberg'"] ohara_ye_fragmentation["Market FragmentationO'Hara and Ye (2011) 'Is Market Fragmentation Harming Market Quality?'"] hasbrouck_saar_latency["Low-Latency TradingHasbrouck and Saar (2013)"] budish_batch["Frequent Batch AuctionsBudish, Cramton and Shim (2015) 'The High-Frequency Trading Arms Race'"] reg_nms["Regulation NMSU.S. Securities and Exchange Commission (2005)"] aldridge_hft["High-Frequency TradingIrene Aldridge (2013)"] patterson_dark_pools["Dark Pools: The Rise of A.I. Trading MachinesScott Patterson (2012)"] bodek_hft["The Problem of HFT: Collected WritingsHaim Bodek (2013)"] lewis_flash_boys["Flash BoysMichael Lewis (2014)"] ohara_easley_ldp_hft["High-Frequency Trading: New RealitiesO'Hara, Easley and Lopez de Prado (2014)"] end end harris_trading_exchanges --- ohara_mm_theory harris_trading_exchanges --- reg_nms ohara_mm_theory --- kyle_lambda ohara_mm_theory --- glosten_milgrom hasbrouck_empirical --- roll_spread hasbrouck_empirical --- almgren_sqrt foucault_liquidity --- glosten_lob foucault_liquidity --- kyle_lambda bouchaud_tqp --- almgren_sqrt bouchaud_tqp --- cont_impact lehalle_practice --- almgren_chriss lehalle_practice --- reg_nms garman_1976 --- demsetz_cost garman_1976 --- ho_stoll_dealer demsetz_cost --- roll_spread bagehot_1971 --- glosten_milgrom bagehot_1971 --- kyle_lambda ho_stoll_dealer --- avellaneda_stoikov glosten_milgrom --- easley_pin kyle_lambda --- almgren_sqrt glosten_lob --- parlour_queue glosten_lob --- foucault_liquidity hasbrouck_info_share --- ohara_ye_fragmentation hasbrouck_info_share --- kyle_lambda easley_pin --- vpin_toxicity parlour_queue --- esser_moench_iceberg vpin_toxicity --- aldridge_hft cont_impact --- bouchaud_tqp cont_impact --- glosten_lob perold_shortfall --- kissell_glantz perold_shortfall --- almgren_chriss berkowitz_vwap --- perold_shortfall bertsimas_lo_exec --- almgren_chriss almgren_chriss --- almgren_sqrt almgren_chriss --- perold_shortfall kissell_glantz --- berkowitz_vwap kissell_glantz --- kissell_methods almgren_sqrt --- bouchaud_tqp obizhaeva_wang --- almgren_chriss obizhaeva_wang --- bertsimas_lo_exec avellaneda_stoikov --- gueant_liquidity avellaneda_stoikov --- cartea_hft gueant_liquidity --- almgren_chriss cartea_hft --- aldridge_hft cartea_hft --- vpin_toxicity kissell_methods --- kissell_glantz johnson_dma --- kissell_glantz johnson_dma --- harris_trading_exchanges narang_black_box --- cartea_hft harris_tick --- roll_spread harris_tick --- reg_nms madhavan_mechanisms --- harris_trading_exchanges madhavan_mechanisms --- madhavan_auctions madhavan_auctions --- hasbrouck_info_share ohara_ye_fragmentation --- reg_nms ohara_ye_fragmentation --- patterson_dark_pools hasbrouck_saar_latency --- budish_batch hasbrouck_saar_latency --- aldridge_hft budish_batch --- lewis_flash_boys budish_batch --- madhavan_auctions reg_nms --- patterson_dark_pools aldridge_hft --- hasbrouck_saar_latency patterson_dark_pools --- lewis_flash_boys bodek_hft --- harris_trading_exchanges bodek_hft --- patterson_dark_pools lewis_flash_boys --- hasbrouck_saar_latency ohara_easley_ldp_hft --- vpin_toxicity ohara_easley_ldp_hft --- cartea_hft
subgraph BEH["Behavioral Finance and Trading Craft"] subgraph BEHF["Behavioral Foundations"] prospect_theory["Prospect TheoryKahneman and Tversky (1979)"] heuristics_biases["Heuristics and BiasesTversky and Kahneman (1974) 'Judgment under Uncertainty'"] kahneman_tfas["Thinking, Fast and SlowDaniel Kahneman (2011)"] thaler_misbehaving["MisbehavingRichard H. Thaler (2015)"] thaler_nudge["NudgeThaler and Sunstein (2008)"] barber_odean_hazardous["Trading Is Hazardous to Your WealthBarber and Odean (2000)"] barber_odean_boys["Boys Will Be Boys: Gender and OverconfidenceBarber and Odean (2001)"] shefrin_statman_disposition["Disposition EffectShefrin and Statman (1985)"] odean_losses["Are Investors Reluctant to Realize Their Losses?Terrance Odean (1998)"] gervais_odean_overconf["Learning to Be OverconfidentGervais and Odean (2001)"] end subgraph BEHI["Behavioral Investing"] shefrin_beyond["Beyond Greed and FearHersh Shefrin (2000)"] montier_behavioral["Behavioural InvestingJames Montier (2007)"] statman_want["What Investors Really WantMeir Statman (2010)"] housel_psychology["The Psychology of MoneyMorgan Housel (2020)"] end subgraph MANIA["Manias and Market History"] shiller_irrational["Irrational ExuberanceRobert J. Shiller (2000)"] shiller_narrative["Narrative EconomicsRobert J. Shiller (2019)"] soros_reflexivity["ReflexivityGeorge Soros (1987) 'The Alchemy of Finance'"] kindleberger_manias["Manias, Panics, and CrashesCharles P. Kindleberger (1978)"] mackay_delusions["Extraordinary Popular Delusions and the Madness of CrowdsCharles Mackay (1841)"] galbraith_euphoria["A Short History of Financial EuphoriaJohn Kenneth Galbraith (1990)"] dalio_debt_crises["Big Debt CrisesRay Dalio (2018)"] dalio_world_order["The Changing World OrderRay Dalio (2021)"] mallaby_hedge_funds["More Money Than GodSebastian Mallaby (2010)"] end subgraph VCLASSIC["Value Investing Classics"] graham_intelligent["The Intelligent Investor: The Definitive Book on Value InvestingBenjamin Graham (1949)"] fisher_common_stocks["Common Stocks and Uncommon ProfitsPhilip A. Fisher (1958)"] lynch_one_up["One Up on Wall StreetPeter Lynch (1989)"] buffett_essays["The Essays of Warren BuffettBuffett and Cunningham (1997)"] marks_most_important["The Most Important ThingHoward Marks (2011)"] marks_cycle["Mastering the Market CycleHoward Marks (2018)"] klarman_margin_of_safety["Margin of SafetySeth A. Klarman (1991)"] greenblatt_magic["The Little Book That Beats the MarketJoel Greenblatt (2005)"] end subgraph CRAFT["Trading Craft and Psychology"] schwager_wizards["Market WizardsJack D. Schwager (1989)"] lefevre_reminiscences["Reminiscences of a Stock OperatorEdwin Lefevre (1923)"] elder_trading_living["The New Trading for a LivingAlexander Elder (2014)"] douglas_zone["Trading in the ZoneMark Douglas (2000)"] douglas_disciplined["The Disciplined TraderMark Douglas (1990)"] steenbarger_psych["The Psychology of TradingBrett N. Steenbarger (2002)"] zuckerman_simons["The Man Who Solved the MarketGregory Zuckerman (2019)"] dalio_principles["Principles: Life and WorkRay Dalio (2017)"] nekritin_forex["Naked Forex: High-Probability Techniques for Trading Without IndicatorsNekritin and Peters (2012)"] aziz_day_trade["How to Day Trade for a LivingAndrew Aziz (2016)"] kratter_beginner["A Beginner's Guide to the Stock MarketMatthew R. Kratter (2019)"] snow_quickstart["Investing QuickStart GuideTed D. Snow (2018)"] noonan_quickstart["Day Trading QuickStart GuideTroy Noonan (2020)"] derman_quant["My Life as a Quant: Reflections on Physics and FinanceEmanuel Derman (2004)"] schachter_quants["How I Became a Quant: Insights from 25 of Wall Street's EliteBarry Schachter (2007)"] end subgraph CODEBOOK["Coding for Trading"] hilpisch_pyfin["Python for Finance: Mastering Data-Driven FinanceYves Hilpisch (2014)"] hilpisch_pyalgo["Python for Algorithmic Trading: From Idea to Cloud DeploymentYves Hilpisch (2020)"] clenow_evolved["Trading Evolved: Anyone Can Build Killer Trading Strategies in PythonAndreas F. Clenow (2019)"] conlan_atp["Algorithmic Trading with PythonChris Conlan (2020)"] donadio_lat["Learn Algorithmic Trading: Build and Deploy Algorithmic Trading SystemsDonadio and Ghosh (2019)"] end subgraph CRYPTOBOOK["Crypto Literature"] ammous_bitcoin["The Bitcoin Standard: The Decentralized Alternative to Central BankingSaifedean Ammous (2018)"] mezrich_billionaires["Bitcoin Billionaires: A True Story of Genius, Betrayal, and RedemptionBen Mezrich (2019)"] antonopoulos_mastering["Mastering Bitcoin: Programming the Open BlockchainAndreas M. Antonopoulos (2017)"] edstrom_bitcoin["Why Buy Bitcoin: Investing Today in the Money of TomorrowAndy Edstrom (2019)"] end subgraph PHIL["Investment Philosophy"] bernstein_4pillars["The Four Pillars of InvestingWilliam J. Bernstein (2002)"] bogle_index["Common Sense Index InvestingJohn C. Bogle (2007) 'The Little Book of Common Sense Investing'"] brown_portnoy["How I Invest My Money: Finance Experts Reveal How They Save, Spend, and InvestBrown and Portnoy (2020)"] end end prospect_theory --- heuristics_biases prospect_theory --- kahneman_tfas heuristics_biases --- kahneman_tfas kahneman_tfas --- thaler_misbehaving thaler_misbehaving --- thaler_nudge prospect_theory --- shefrin_statman_disposition shefrin_statman_disposition --- odean_losses odean_losses --- barber_odean_hazardous barber_odean_hazardous --- barber_odean_boys barber_odean_boys --- gervais_odean_overconf gervais_odean_overconf --- heuristics_biases shefrin_beyond --- montier_behavioral montier_behavioral --- heuristics_biases statman_want --- shefrin_beyond statman_want --- housel_psychology housel_psychology --- marks_most_important shiller_irrational --- shiller_narrative shiller_irrational --- kindleberger_manias shiller_narrative --- mackay_delusions soros_reflexivity --- shiller_irrational soros_reflexivity --- marks_cycle kindleberger_manias --- mackay_delusions kindleberger_manias --- galbraith_euphoria galbraith_euphoria --- when_genius_failed dalio_debt_crises --- dalio_world_order dalio_debt_crises --- kindleberger_manias dalio_world_order --- dalio_principles mallaby_hedge_funds --- when_genius_failed mallaby_hedge_funds --- zuckerman_simons graham_intelligent --- graham_margin_of_safety graham_intelligent --- buffett_essays fisher_common_stocks --- lynch_one_up fisher_common_stocks --- buffett_essays lynch_one_up --- housel_psychology buffett_essays --- marks_most_important marks_most_important --- marks_cycle marks_most_important --- klarman_margin_of_safety marks_cycle --- soros_reflexivity klarman_margin_of_safety --- graham_margin_of_safety greenblatt_magic --- graham_intelligent greenblatt_magic --- quality_minus_junk schwager_wizards --- lefevre_reminiscences schwager_wizards --- zuckerman_simons lefevre_reminiscences --- douglas_zone elder_trading_living --- douglas_zone elder_trading_living --- elder_two_percent douglas_zone --- douglas_disciplined douglas_zone --- steenbarger_psych douglas_disciplined --- kahneman_tfas steenbarger_psych --- kahneman_tfas zuckerman_simons --- mallaby_hedge_funds dalio_principles --- dalio_all_weather dalio_principles --- marks_most_important nekritin_forex --- elder_trading_living aziz_day_trade --- elder_trading_living kratter_beginner --- bogle_index snow_quickstart --- kratter_beginner noonan_quickstart --- aziz_day_trade derman_quant --- taleb_dynamic_hedging derman_quant --- wilmott_qf schachter_quants --- derman_quant hilpisch_pyfin --- hilpisch_pyalgo hilpisch_pyfin --- hilpisch_ai_finance hilpisch_pyalgo --- chan_algo_trading clenow_evolved --- carver_systematic clenow_evolved --- mop_tsm conlan_atp --- hilpisch_pyalgo donadio_lat --- jansen_ml4t ammous_bitcoin --- mezrich_billionaires ammous_bitcoin --- antonopoulos_mastering mezrich_billionaires --- padysak_vojtko_btc antonopoulos_mastering --- edstrom_bitcoin edstrom_bitcoin --- ammous_bitcoin bernstein_4pillars --- markowitz_mpt bernstein_4pillars --- bogle_index bernstein_4pillars --- housel_psychology bogle_index --- fama_emh bogle_index --- arnott_fundamental_index brown_portnoy --- housel_psychology thaler_misbehaving --- debondt_thaler_overreaction barber_odean_hazardous --- perold_shortfall shefrin_statman_disposition --- kaminski_lo_stoploss shiller_irrational --- faber_global_value mackay_delusions --- shiller_narrative george_hwang_52wk --- heuristics_biases bernard_thomas_pead --- heuristics_biases
subgraph TOOL["Trading Tooling (awesome-systematic-trading inventory)"] subgraph TBTE["Event-Driven Backtesting and Live Trading"] t_vnpy["vnpyvnpy team (2015)"] t_zipline["ziplineQuantopian (2014)"] t_backtrader["backtraderDaniel Rodriguez (2015)"] t_quantaxis["QUANTAXISQUANTAXIS community (2017)"] t_lean["QuantConnect LeanJared Broad / QuantConnect (2012)"] t_rqalpha["RqalphaRicequant (2016)"] t_finmarketpy["finmarketpySaeed Amen / Cuemacro (2016)"] t_backtestingpy["backtesting.pykernc (2019)"] t_zvt["zvtfoolcage (2019)"] t_wondertrader["WonderTraderwondertrader team (2020)"] t_nautilus["nautilus_traderNautech Systems (2018)"] t_pandora["PandoraTraderpegasusTrader (2021)"] t_hftbacktest["HFTBacktestnkaz001 (2020)"] t_aat["aatTim Paine / AsyncAlgoTrading (2020)"] t_sdoosa["sdoosa-algo-trade-pythonSreenivas Doosa (2020)"] t_lumibot["lumibotLumiwealth (2020)"] t_quanttrader["quanttraderLetian Zhang (2017)"] t_gobacktest["gobacktestgobacktest project (2018)"] t_flashfunk["FlashFunkHFQR (2021)"] end subgraph TBTV["Vector-Based Backtesting"] t_vectorbt["vectorbtOleg Polakow (2019)"] t_pysystemtrade["pysystemtradeRobert Carver (2016)"] t_bt["btPhilippe Morissette (2015)"] end subgraph TCRYPTO["Crypto Trading Frameworks"] t_freqtrade["FreqtradeFreqtrade community (2017)"] t_jesse["JesseSaleh Mir (2019)"] t_octobot["OctoBotDrakkar-Software (2018)"] t_kelp["KelpStellar Development Foundation (2018)"] t_openlimits["openlimitsNash (2020)"] t_btrader["bTraderGabriel Milan (2021)"] t_cryptocrawler["crypto-crawler-rscrypto-crawler project (2020)"] t_hummingbot["HummingbotCoinAlpha (2019)"] t_cryptotrader["cryptotrader-coremonomadic (2021)"] end subgraph TBOTS["Trading Bots and Alpha Models"] t_blackbird["Blackbird Bitcoin ArbitrageJulien Hamilton / butor (2016)"] t_btcarb["bitcoin-arbitrageMaxime Biais (2014)"] t_thetagang["ThetaGangbrndnmtthws (2021)"] t_czsc["czscwaditu (2020)"] t_r2["R2 Bitcoin Arbitragerbitrinjani (2018)"] t_analyzingalpha["analyzingalphaLeo Smigel (2019)"] t_pytrendfollow["PyTrendFollowchrism2671 (2018)"] end subgraph TTA["Technical Indicators"] t_talib["TA-LibMario Fortier / TA-Lib project (1999)"] t_gotart["go-tartiamjinlei (2020)"] t_pandasta["pandas-taKevin Johnson / twopirllc (2019)"] t_finta["fintapeerchemist (2017)"] t_tarust["ta-rust (ta-rs)greyblake (2020)"] end subgraph TMET["Metrics Computation"] t_quantstats["quantstatsRan Aroussi (2019)"] t_ffn["ffnPhilippe Morissette (2015)"] end subgraph TOPT["Portfolio Optimization"] t_pyportfolioopt["PyPortfolioOptRobert Martin (2018)"] t_riskfolio["Riskfolio-LibDany Cajas (2020)"] t_empyrial["EmpyrialSantosh Passoubady (2021)"] t_deepdow["DeepdowJan Krepl (2020)"] t_spectre["spectreHeerozh (2019)"] end subgraph TPRICE["Derivative Pricing"] t_tfquant["tf-quant-financeGoogle (2020)"] t_financepy["FinancePyDominic O'Kane (2020)"] t_pyql["PyQL / QuantLibLuigi Ballabio et al. (2000)"] end subgraph TRISKT["Risk Analytics"] t_pyfolio["pyfolioQuantopian (2015)"] end subgraph TBROKER["Broker APIs"] t_ccxt["ccxtIgor Kroitor (2017)"] t_ibinsync["ib_insyncEwald de Wit (2017)"] t_coinnect["CoinnectHugues (2019)"] t_pendax["PENDAX-SDKCompendiumFi (2022)"] end subgraph TDATA["Data Sources"] t_openbb["OpenBB TerminalOpenBB (2021)"] t_tushare["TuSharewaditu (2014)"] t_yfinance["yfinanceRan Aroussi (2017)"] t_akshare["AkShareAKFamily (2019)"] t_datareader["pandas-datareaderPyData team (2015)"] t_quandl["Quandl (quandl-python)Quandl / Nasdaq (2013)"] t_findatapy["findatapySaeed Amen (2015)"] t_investpy["investpyAlvaro Bartolome (2018)"] t_fundamental["Fundamental Analysis DataJeroen Bouma (2019)"] t_wallstreet["WallstreetMike Dallas (2016)"] t_cryptofeed["CryptofeedBryant Moscon (2017)"] t_gekko["Gekko-DatasetsxFFFFF (2017)"] t_cryptoinscriber["CryptoInscriberOptixal (2017)"] t_cryptolake["Crypto Lake (lake-api)crypto-lake (2021)"] end subgraph TDS["Data Science Stack"] t_tensorflow["TensorFlowGoogle Brain (2015)"] t_pytorch["PyTorchMeta AI (2016)"] t_keras["KerasFrancois Chollet (2015)"] t_sklearn["scikit-learnDavid Cournapeau (2007)"] t_pandas["pandasWes McKinney (2008)"] t_numpy["NumPyTravis Oliphant (2006)"] t_scipy["SciPyTravis Oliphant et al. (2001)"] t_pymc["PyMCPyMC Developers (2009)"] t_cvxpy["CVXPYDiamond and Boyd (2014)"] end subgraph TDB["Financial Databases"] t_marketstore["MarketstoreAlpaca (2018)"] t_tectonicdb["Tectonicdb0b01 (2017)"] t_arcticdb["ArcticDBMan Group (2015)"] end subgraph TGRAPH["Graph and Distributed Computation"] t_ray["RayUC Berkeley RISELab (2017)"] t_dask["DaskMatthew Rocklin (2015)"] t_incremental["IncrementalJane Street (2016)"] t_manmdf["Man MDFMan Group (2016)"] t_graphkit["GraphKitYahoo (2016)"] t_tributary["TributaryTim Paine (2018)"] end subgraph TMLPLAT["ML Trading Platforms"] t_qlib["QLibMicrosoft (2020)"] t_finrl["FinRLAI4Finance Foundation (2020)"] t_mlfinlab["MlFinLabHudson and Thames (2019)"] t_tradinggym["TradingGymYvictor (2017)"] t_dqnbot["Stock Trading Bot Deep Q-Learningpskrunner14 (2018)"] end subgraph TTS["Time-Series Analysis"] t_prophet["ProphetFacebook (2017)"] t_statsmodels["statsmodelsSeabold and Perktold (2009)"] t_tsfresh["tsfreshBlue Yonder (2016)"] t_pmdarima["pmdarimaTaylor G. Smith (2017)"] end subgraph TVIZ["Visualization"] t_dtale["D-TaleMan Group (2019)"] t_mplfinance["mplfinanceDaniel Goldfarb (2019)"] t_btplotting["btplottinghappydasch (2020)"] end end t_vnpy --- t_lean t_zipline --- t_pyfolio t_backtrader --- t_backtestingpy t_quantaxis --- t_vnpy t_lean --- t_zipline t_rqalpha --- t_zipline t_finmarketpy --- t_findatapy t_backtestingpy --- walk_forward_pardo t_zvt --- t_tushare t_wondertrader --- t_vnpy t_nautilus --- t_hftbacktest t_pandora --- t_hftbacktest t_hftbacktest --- hasbrouck_empirical t_aat --- t_nautilus t_sdoosa --- t_backtrader t_lumibot --- t_backtestingpy t_quanttrader --- t_backtestingpy t_gobacktest --- t_backtestingpy t_flashfunk --- t_nautilus t_vectorbt --- walk_forward_pardo t_pysystemtrade --- carver_systematic t_bt --- qian_risk_parity t_freqtrade --- t_hummingbot t_jesse --- t_backtestingpy t_octobot --- t_ccxt t_kelp --- t_hummingbot t_openlimits --- t_ccxt t_btrader --- t_ccxt t_cryptocrawler --- t_cryptofeed t_hummingbot --- avellaneda_stoikov t_cryptotrader --- t_ccxt t_blackbird --- t_btcarb t_btcarb --- t_ccxt t_thetagang --- t_ibinsync t_czsc --- grimes_ta t_r2 --- t_btcarb t_analyzingalpha --- jansen_ml4t t_pytrendfollow --- mop_tsm t_talib --- grimes_ta t_talib --- t_gotart t_pandasta --- t_talib t_finta --- t_pandasta t_tarust --- t_finta t_quantstats --- sharpe_ratio t_ffn --- t_quantstats t_pyportfolioopt --- hrp_ldp t_riskfolio --- rockafellar_cvar t_empyrial --- t_pyportfolioopt t_deepdow --- gu_kelly_xiu t_spectre --- t_sklearn t_tfquant --- heston_sv t_financepy --- hull_derivatives t_pyql --- hull_derivatives t_pyfolio --- t_quantstats t_ccxt --- t_cryptofeed t_ibinsync --- johnson_dma t_coinnect --- t_ccxt t_pendax --- t_ccxt t_openbb --- t_yfinance t_tushare --- t_akshare t_yfinance --- t_datareader t_akshare --- t_tushare t_datareader --- t_quandl t_quandl --- t_findatapy t_findatapy --- t_finmarketpy t_investpy --- t_yfinance t_fundamental --- piotroski_fscore t_wallstreet --- t_yfinance t_cryptofeed --- t_cryptocrawler t_gekko --- t_freqtrade t_cryptoinscriber --- t_cryptofeed t_cryptolake --- t_hftbacktest t_tensorflow --- deep_learning_book t_pytorch --- deep_learning_book t_keras --- t_tensorflow t_sklearn --- esl t_pandas --- t_numpy t_numpy --- t_scipy t_scipy --- t_pandas t_pymc --- black_litterman t_cvxpy --- markowitz_mpt t_marketstore --- t_arcticdb t_tectonicdb --- t_hftbacktest t_arcticdb --- t_pandas t_ray --- t_dask t_dask --- t_pandas t_incremental --- t_manmdf t_manmdf --- t_graphkit t_graphkit --- t_tributary t_tributary --- t_dask t_qlib --- gu_kelly_xiu t_finrl --- sutton_barto_rl t_mlfinlab --- ldp_afml t_tradinggym --- sutton_barto_rl t_dqnbot --- sutton_barto_rl t_prophet --- box_jenkins t_statsmodels --- tsay_afts t_tsfresh --- t_sklearn t_pmdarima --- box_jenkins t_dtale --- t_pandas t_mplfinance --- t_backtrader t_btplotting --- t_backtrader
subgraph LEARN["Learning Resources (videos, blogs, courses)"] subgraph VID["Videos and Interviews"] v_krish_naik["Krish Naik ML TutorialsKrish Naik"] v_quantinsti["QuantInsti WebinarsQuantInsti"] v_siraj["Siraj Raval Deep Learning for MarketsSiraj Raval"] v_quantopian["Quantopian WebinarsQuantopian"] v_sentdex["Sentdex ML and Python for FinanceHarrison Kinsley / Sentdex"] v_quantnews["QuantNews ML for Algorithmic TradingQuantNews"] v_cwt_mouler["Chat with Traders EP042 and EP142: Bert MoulerAaron Fifield / Chat with Traders"] v_balch_rl["Applying Deep Reinforcement Learning to TradingTucker Balch"] v_chan_webinar["Machine Learning for Quantitative Trading WebinarErnest P. Chan"] v_cwt_starke["Chat with Traders EP147: Tom StarkeAaron Fifield / Chat with Traders"] v_essex_lob["Analyzing the Limit Order Book: A Deep Learning ApproachUniversity of Essex master thesis"] v_bandy["Machine Learning Trading System Development WebinarHoward B. Bandy"] v_cwt_slade["Chat with Traders EP131: Morgan SladeAaron Fifield / Chat with Traders"] v_margenot["Good Uses of Machine Learning in FinanceMax Margenot / Quantopian"] v_harada["Deep Learning in Finance TalkHitoshi Harada / Alpaca"] v_bst_aronson["Better System Trader EP028: David AronsonAndrew Swanscott / Better System Trader"] v_prediction_machines["Prediction Machines: Deep Learning in FinancePrediction Machines"] v_bst_mouler_crypto["Better System Trader EP064: Cryptocurrencies and MLAndrew Swanscott / Better System Trader"] v_bst_himmel["Better System Trader EP023: Michael HimmelAndrew Swanscott / Better System Trader"] v_bst_longmore["Better System Trader EP082: Kris LongmoreAndrew Swanscott / Better System Trader"] end subgraph BLOG["Blogs"] b_aaaquants["AAA Quants BlogTom Starke"] b_pwb["AI and Systematic Trading Blogpaperswithbacktest"] b_blackarbs["Blackarbs BlogBlackarbs"] b_hardikp["Hardikp BlogHardik Patel"] b_maxdama["Max Dama on Automated TradingMax Dama"] b_medallion["Medallion.Club on Systematic TradingMedallion.Club"] b_proof["Proof Engineering BlogProof Engineering"] b_quantsportal["Quantsportal BlogJacques Joubert"] b_quantstart["QuantStartMichael Halls-Moore"] b_robotwealth["RobotWealth BlogKris Longmore"] end subgraph COURSE["Courses"] c_cfte["AI in FinanceCFTE"] c_pwb["AI and Systematic Trading Coursepaperswithbacktest"] c_tudorelu["Algorithmic Trading for Cryptocurrencies in Pythontudorelu"] c_nyu_tour["Guided Tour of Machine Learning in FinanceNYU / Coursera"] c_nyu_fundamentals["Fundamentals of Machine Learning in FinanceNYU / Coursera"] c_nyu_rl["Reinforcement Learning in FinanceNYU / Coursera"] c_nyu_rl_advanced["Advanced Methods for Reinforcement Learning in FinanceNYU / Coursera"] c_hudson_thames["Hudson and Thames Quantitative ResearchHudson and Thames"] c_udacity_ai["Artificial Intelligence for TradingUdacity"] c_udacity_ml4t["Machine Learning for TradingUdacity / Georgia Tech (Tucker Balch)"] end end v_krish_naik --- jansen_ml4t v_quantinsti --- chan_algo_trading v_siraj --- deep_learning_book v_quantopian --- t_zipline v_sentdex --- jansen_ml4t v_quantnews --- jansen_ml4t v_cwt_mouler --- schwager_wizards v_balch_rl --- sutton_barto_rl v_chan_webinar --- chan_machine_trading v_cwt_starke --- b_aaaquants v_essex_lob --- bouchaud_tqp v_bandy --- bandy_qta v_cwt_slade --- gu_kelly_xiu v_margenot --- t_zipline v_harada --- t_marketstore v_bst_aronson --- aronson_ebta v_prediction_machines --- deep_learning_book v_bst_mouler_crypto --- v_cwt_mouler v_bst_himmel --- schwager_wizards v_bst_longmore --- b_robotwealth b_aaaquants --- ldp_afml b_pwb --- mop_tsm b_blackarbs --- qian_risk_parity b_hardikp --- hilpisch_pyfin b_maxdama --- narang_black_box b_medallion --- zuckerman_simons b_proof --- narang_black_box b_quantsportal --- ldp_afml b_quantstart --- walk_forward_pardo b_robotwealth --- aronson_ebta c_cfte --- hilpisch_ai_finance c_pwb --- b_pwb c_tudorelu --- t_freqtrade c_nyu_tour --- c_nyu_fundamentals c_nyu_fundamentals --- c_nyu_rl c_nyu_rl --- c_nyu_rl_advanced c_nyu_rl_advanced --- sutton_barto_rl c_hudson_thames --- t_mlfinlab c_udacity_ai --- t_qlib c_udacity_ml4t --- v_balch_rl
subgraph EXT["External Semantic-Anchors Catalog Cross-Links"] x_mece["MECE PrincipleBarbara Minto 'The Minto Pyramid Principle'(Semantic-Anchors catalog)"] x_goodhart["Goodhart's LawCharles Goodhart (1975)(Semantic-Anchors catalog)"] x_occam["Occam's RazorWilliam of Ockham(Semantic-Anchors catalog)"] x_first_principles["First Principles ThinkingAristotle(Semantic-Anchors catalog)"] x_fermi["Fermi EstimationEnrico Fermi(Semantic-Anchors catalog)"] x_spc["Statistical Process Control / Control ChartWalter A. Shewhart (1931)(Semantic-Anchors catalog)"] x_devils_advocate["Devil's Advocate(Semantic-Anchors catalog)"] x_cynefin["Cynefin FrameworkDave Snowden (1999)(Semantic-Anchors catalog)"] end x_mece --- fama_french_5 x_goodhart --- deflated_sharpe x_goodhart --- sharpe_ratio x_occam --- m_competitions x_occam --- box_jenkins x_first_principles --- markowitz_mpt x_fermi --- almgren_sqrt x_spc --- walk_forward_pardo x_spc --- t_quantstats x_devils_advocate --- montier_behavioral x_cynefin --- hamilton_regime x_cynefin --- lo_adaptive_markets
sharpe_ratio -.-> kelly_criterion markowitz_mpt -.-> harvey_vol_target hrp_ldp -.-> bailey_pbo carhart_4 -.-> mop_tsm baker_low_vol -.-> bakshi_kapadia_vrp graham_dodd_value -.-> debondt_thaler_overreaction lo_adaptive_markets -.-> hamilton_regime ross_apt -.-> gu_kelly_xiu black_litterman -.-> t_pymc grinold_kahn_law -.-> gu_kelly_xiu daniel_moskowitz_crashes -.-> spitznagel_tail barroso_santa_clara -.-> harvey_vol_target gatev_pairs -.-> engle_granger_coint frazzini_pedersen_bab -.-> qian_risk_parity koijen_carry -.-> erb_harvey heston_sadka_seas -.-> harvey_liu_zhu burnside_carry -.-> taleb_black_swan bakshi_kapadia_vrp -.-> ang_factor coval_shumway -.-> bali_max_lottery whaley_vix -.-> hamilton_regime mitton_vorkink_skew -.-> housel_psychology keynes_backwardation -.-> koijen_carry bennett_trading_vol -.-> glosten_milgrom avellaneda_lipkin_pinning -.-> stivers_sun_opex harrison_kreps -.-> deflated_sharpe gu_kelly_xiu -.-> fama_french_5 sutton_barto_rl -.-> almgren_chriss ldp_afml -.-> tharp_r_multiples brown_survivorship -.-> jegadeesh_titman kelly_criterion -.-> markowitz_mpt moreira_muir_volman -.-> baker_low_vol spitznagel_tail -.-> coval_shumway davey_monte_carlo -.-> bailey_pbo when_genius_failed -.-> cont_impact almgren_sqrt -.-> vince_optimal_f perold_shortfall -.-> walk_forward_pardo roll_spread -.-> degroot_reversal_costs kyle_lambda -.-> ang_factor glosten_milgrom -.-> natenberg harris_tick -.-> gencay_hff hasbrouck_info_share -.-> lo_mackinlay_contrarian vpin_toxicity -.-> harvey_vol_target almgren_chriss -.-> markowitz_mpt greenblatt_magic -.-> novy_marx_profit heuristics_biases -.-> aronson_ebta covel_trend_following -.-> walk_forward_pardo zuckerman_simons -.-> gu_kelly_xiu shiller_narrative -.-> bernile_lyandres_soccer