Computational Trading - pikers/piker GitHub Wiki

Before reading any of this make sure you check out awesome-quant.

Fields of study:

• FSP: the DSP of finance
• Mathematical Finance: the applied math of finance (takes price as a given and doesn't care about economics)
  • Ito Calculus: extends calculus to stochastic processes
  • Stratonovich integral alternative non-causal stochastic calculus formulation used often in physics

Strange Derivatives:

• variance swap

Derivative Strats:

• delta neutral

Peeps to follow / Blogs:

• Brian Christopher @ BlackArbs: github, gists
• https://pythonforfinance.net/