Papers of Interest

Concepts
1. Technical Analysis in Financial Markets
2. Alpha Engine – Designing an Automated trading Algorithm
3. Backtesting Magic-formula
4. Technical analysis and sentiment embeddings for market trend
prediction (Andrea Picasso, et al.)
Trading Strategy
1. Pairs Trading: Performance of a Relative Value Arbitrage Rule (Evan Gatev, et al)
2. Absolute Momentum Strategy (Gary Antonacci)
3. Order Imbalance based Strategy in HFT
4. Momentum, Mean Reversion, and Statistical Arbitrage Strategy
5. Covered Calls and Protective Puts Strategy
6. Long-Short Equity Market Neutral Strategy
7. Improved Moving Average Strategy
8. Market timing with Moving Average
9. Price Momentum and Trading Volume Strategy
10. Profitable-Momentum-Trading-Strategies
11. Evolving Trading Strategies using Directional Change
Machine Learning
1. Deep Reinforcement model for Automated Stock Trading
2. Logistic-Regression ML to Momentum based Trading-Strategy (Patrick Beaudan and Shuoyuan He)
3. Deep reinforcement learning for Automated Stock trading (Ensemble Strategy)
4. Machine Learning in Asset Management Brief Links
5. Hierarchical Temporal Memory based ML model for Algorithmic Trading
6. Review of RL techniques
7. Deep Learning for the Prediction of Stock Market Trends (Aravand Fazeli, et.al)
Others
1. Predicting breakpoints in trading strategies with twitter

AI Advancements
1. Towards Artificial General Intelligence

2. Qlib – An AI oriented Quantitative Investment Platform (https://github.com/microsoft/qlib)

References

  1. Strategy Research
  2. MuZero AI Paper
  3. Interesting Concepts – Leo Smigel – https://analyzingalpha.com/about/leo-smigel
  4. Awesome Quant Tools – https://github.com/wilsonfreitas/awesome-quant

Version History

VersionDateDescriptionAuthor(s)
1.011 April 2021Include the list of research papers from SSRN, Forexfctory, Elsevier & OthersAatral Arasu(aa@damoracapital.com)