Projects in Quantitative Finance

Dear fellow QuantNet members

What are good sources for finding projects [preferably with Python or R; at the moment of writing I can't program in C++] in quantitative finance and/or related areas?

Best regards,
Ra. Wa.
 

Daniel Duffy

C++ author, trainer
Are you a reasonably good Python coder?. Can you design/translate algorithms into Python?

Black Scholes exact
Monte Carlo
a bit of Machine Learning
etc.

numpy, scipy?
 
If you know some statistics / econometrics, then you could look into working with crypto data. The advantage is that most exchanges offer you free tick-data subscriptions as well as historical data. E.g. can you predict the 💩 coin ABC price in 5/15/30 min. based on some features that you design? Apart from working with the data itself, you also learn a bit about the infrastructure aspects (connectivity, persistence, ...). If you want to work with options data - Deribit has websocket connectivity and you could e.g. visualize and fit the live implied volatility smiles. Both projects will look good on your resume when applying to trading firms.
 
I am wondering whether Python suffices, or in other words, to focus on improving Python skills or to learn a bit C++ (perhaps superficially), which is better?
 

Daniel Duffy

C++ author, trainer
I am wondering whether Python suffices, or in other words, to focus on improving Python skills or to learn a bit C++ (perhaps superficially), which is better?
two goals

1. learniing maths/algo
2. learning a language

what is important for you. With Python

a. using numpy, scipy out of the box.
b. using a bit of Python (user coding)
c. More extended Python.

learn a bit C++ perhaps superficially)
C++ is everything or nothing. It cannot be half done. Like a law of gravity.
 
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Dear fellow QuantNet members

What are good sources for finding projects [preferably with Python or R; at the moment of writing I can't program in C++] in quantitative finance and/or related areas?

Best regards,
Ra. Wa.
Really depends on what you are interested in. You can check out WSO forums - the discussions tend to be a little more technical.

Want to develop infrastructure? Build a financial database
Want to evaluate trading strategies and program a lot? Build a backtester in python
Interested in derivatives? Build a vol surface
 

Daniel Duffy

C++ author, trainer
I was hoping for a more guided project :)
I recomend literature research based on reactions from people here.
The rest is up to you. In business, an employer would expect the same.


e.g. for starters

 
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