From 12c342dc947ae1658b8d4a196333df1618f30931 Mon Sep 17 00:00:00 2001 From: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com> Date: Fri, 5 Apr 2024 06:43:57 +0100 Subject: [PATCH 1/4] Update README.md with QuantLibRisks --- README.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index d57f6ff..0540b06 100644 --- a/README.md +++ b/README.md @@ -456,6 +456,8 @@ A curated list of insanely awesome libraries, packages and resources for Quants ## Frameworks - [QuantLib](https://github.com/lballabio/QuantLib) - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. + - [QuantLibRisks](https://pypi.org/project/QuantLib-Risks/) - Fast risks with QuantLib in Python + - [QuantLibRisksCpp](https://github.com/auto-differentiation/QuantLib-Risks-Cpp) - Fast risks with QuantLib in C++ - [JQuantLib](https://github.com/frgomes/jquantlib) - Java port. - [RQuantLib](https://github.com/eddelbuettel/rquantlib) - R port. - [QuantLibAddin](https://www.quantlib.org/quantlibaddin/) - Excel support. @@ -464,7 +466,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [PyQL](https://github.com/enthought/pyql) - Python port. - [QuantLib.jl](https://github.com/pazzo83/QuantLib.jl) - Julia port. - [QuantLib-Python Documentation](https://quantlib-python-docs.readthedocs.io/) - Documentation for the Python bindings for the QuantLib library - - [QuantLib with Automatic Differention enabled](https://github.com/auto-differentiation/quantlib-xad) - Integration of Automatic Differentiation with the QuantLib library + - [TA-Lib](https://ta-lib.org) - perform technical analysis of financial market data. - [ta-lib-python](https://github.com/TA-Lib/ta-lib-python) - [ta-lib](https://github.com/TA-Lib/ta-lib) From 5f5c30a9875fc7b1c28f082679c9ac08dfb0ae86 Mon Sep 17 00:00:00 2001 From: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com> Date: Fri, 5 Apr 2024 07:09:58 +0100 Subject: [PATCH 2/4] Update README.md with more risk and automatic differentiation resources --- README.md | 10 ++++++++-- 1 file changed, 8 insertions(+), 2 deletions(-) diff --git a/README.md b/README.md index 0540b06..d428b81 100644 --- a/README.md +++ b/README.md @@ -152,6 +152,8 @@ A curated list of insanely awesome libraries, packages and resources for Quants ### Risk Analysis +- [QuantLibRisks](https://pypi.org/project/QuantLib-Risks/) - Fast risks with QuantLib +- [XAD](https://pypi.org/project/xad/) - Automatic Differentation (AAD) Library - [pyfolio](https://github.com/quantopian/pyfolio) - Portfolio and risk analytics in Python. - [empyrical](https://github.com/quantopian/empyrical) - Common financial risk and performance metrics. - [fecon235](https://github.com/rsvp/fecon235) - Computational tools for financial economics include: Gaussian Mixture model of leptokurtotic risk, adaptive Boltzmann portfolios. @@ -451,13 +453,15 @@ A curated list of insanely awesome libraries, packages and resources for Quants ## CPP - [QuantLib](https://github.com/lballabio/QuantLib) - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. +- [QuantLibRisks](https://github.com/auto-differentiation/QuantLib-Risks-Cpp) - Fast risks with QuantLib in C++ +- [XAD](https://github.com/auto-differentiation/xad) - Automatic Differentation (AAD) Library - [TradeFrame](https://github.com/rburkholder/trade-frame) - C++ 17 based framework/library (with sample applications) for testing options based automated trading ideas using DTN IQ real time data feed and Interactive Brokers (TWS API) for trade execution. Comes with built-in [Option Greeks/IV](https://github.com/rburkholder/trade-frame/tree/master/lib/TFOptions) calculation library. ## Frameworks - [QuantLib](https://github.com/lballabio/QuantLib) - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. - - [QuantLibRisks](https://pypi.org/project/QuantLib-Risks/) - Fast risks with QuantLib in Python - - [QuantLibRisksCpp](https://github.com/auto-differentiation/QuantLib-Risks-Cpp) - Fast risks with QuantLib in C++ + - QuantLibRisks - Fast risks with QuantLib in [Python](https://pypi.org/project/QuantLib-Risks/) and [C++](https://github.com/auto-differentiation/QuantLib-Risks-Cpp) + - XAD - Automatic Differentiation (AAD) Library in [Python](https://pypi.org/project/xad/) and [C++](https://github.com/auto-differentiation/xad/) - [JQuantLib](https://github.com/frgomes/jquantlib) - Java port. - [RQuantLib](https://github.com/eddelbuettel/rquantlib) - R port. - [QuantLibAddin](https://www.quantlib.org/quantlibaddin/) - Excel support. @@ -471,6 +475,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [ta-lib-python](https://github.com/TA-Lib/ta-lib-python) - [ta-lib](https://github.com/TA-Lib/ta-lib) - [Portfolio Optimizer](https://portfoliooptimizer.io/) - Portfolio Optimizer is a Web API for portfolio analysis and optimization. +- XAD: Automatic Differentation (AAD) Library for [Python](https://pypi.org/project/xad/) and [C++](https://github.com/auto-differentiation/xad) ## CSharp @@ -492,6 +497,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants ## Reproducing Works, Training & Books +- [Auto-Differentiation Website](https://auto-differentiation.github.io/) - Background and resources on Automatic Differentiation (AD) / Adjoint Algorithmic Differentitation (AAD). - [Derman Papers](https://github.com/MarcosCarreira/DermanPapers) - Notebooks that replicate original quantitative finance papers from Emanuel Derman. - [ML-Quant](https://www.ml-quant.com/) - Top Quant resources like ArXiv (sanity), SSRN, RePec, Journals, Podcasts, Videos, and Blogs. - [volatility-trading](https://github.com/jasonstrimpel/volatility-trading) - A complete set of volatility estimators based on Euan Sinclair's Volatility Trading. From ed90143b30763bcf85683232d15d57672ac4100b Mon Sep 17 00:00:00 2001 From: Blair Azzopardi Date: Tue, 9 Apr 2024 10:13:56 +0100 Subject: [PATCH 3/4] Add link to YABTE backtesting engine --- README.md | 1 + 1 file changed, 1 insertion(+) diff --git a/README.md b/README.md index d57f6ff..cd68d8c 100644 --- a/README.md +++ b/README.md @@ -149,6 +149,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [Intelligent Trading Bot](https://github.com/asavinov/intelligent-trading-bot) - Automatically generating signals and trading based on machine learning and feature engineering - [fastquant](https://github.com/enzoampil/fastquant) - fastquant allows you to easily backtest investment strategies with as few as 3 lines of python code. - [nautilus_trader](https://github.com/nautechsystems/nautilus_trader) - A high-performance algorithmic trading platform and event-driven backtester. +- [YABTE](https://github.com/bsdz/yabte) - Yet Another (Python) BackTesting Engine. ### Risk Analysis From 00451552d11f30e7b5b717006cfbe52fb07f552c Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Vin=C3=ADcius=20Baca?= <53339224+viniciusbaca@users.noreply.github.com> Date: Tue, 6 Aug 2024 12:54:49 -0300 Subject: [PATCH 4/4] Added polars lib. - On Python/Numerical Libraries & Data Structures section. --- README.md | 1 + 1 file changed, 1 insertion(+) diff --git a/README.md b/README.md index 9716022..43b96e3 100644 --- a/README.md +++ b/README.md @@ -30,6 +30,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [numpy](https://www.numpy.org) - NumPy is the fundamental package for scientific computing with Python. - [scipy](https://www.scipy.org) - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. - [pandas](https://pandas.pydata.org) - pandas is an open source, BSD-licensed library providing high-performance, easy-to-use data structures and data analysis tools for the Python programming language. +- [polars](https://docs.pola.rs/) - Polars is a blazingly fast DataFrame library for manipulating structured data. - [quantdsl](https://github.com/johnbywater/quantdsl) - Domain specific language for quantitative analytics in finance and trading. - [statistics](https://docs.python.org/3/library/statistics.html) - Builtin Python library for all basic statistical calculations. - [sympy](https://www.sympy.org/) - SymPy is a Python library for symbolic mathematics.