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Wiki

  1. Welcome to Numerical Method!
  2. SuanShu
    1. FAQs
    2. Packages
      1. BASIC
        1. Calculus
        2. Functions
        3. Geometry
        4. Curve Fitting & Interpolation
        5. Linear Algebra
        6. Misc.
        7. Optimization
        8. Pseudo Random Number Generators
        9. SDE
        10. Statistics
      2. OPTIM
      3. STATS
        1. Hypothesis Testing
        2. Linear Regression
        3. Time Series Analysis
      4. OPDE
      5. DSP
      6. EVT
    3. Scripting
      1. Groovy
        1. Examples
    4. SuanShu in .NET environment
      1. Excel
    5. Tutorial
      1. HelloSuanShu
      2. SetupGuide
  3. AlgoQuant
    1. Demo
    2. FAQs
    3. SVN
    4. Setup
      1. Coding Tools
      2. Maven
    5. Tutorials
      1. Coding an AlgoQuant Strategy
      2. Illustration with Infantino's PCA Strategy
  4. Core Team Members
    1. Dr. Haksun Li
    2. Dr. Ken Yiu
    3. Dr. Kevin Sun
    4. Prof. Chun Yip Yau
  5. Quantitative Trading
    1. Quantitative Trading Literature
    2. Mean Reversion Strategy
    3. Historical Data
  6. Trading Models
    1. Mean Reversion
      1. Elliott Pairs Trading Model, 2005
      2. Intra-day volatility arbitrage strategy (VolArb)
      3. Identifying Small Mean Reverting Portfolios, d’Aspremont, 2008
    2. Trend Following & Momentum
      1. Knight-Satchell-Tran's Moving Average Crossover Model, 1995
    3. Factor Model
    4. Portfolio Optimization
      1. Markowitz Portfolio Theory
    5. Covariance Selection
      1. Graphical LASSO Algorithm
    6. Miscellaneous
      1. Infantino's PCA Model, 2010

Recent Topics

  • AlgoQuant 2.2.0 is now released
  • SuanShu 4.1.0 is now released
  • SQP: unable to solve subquadratic programming problem error
  • AlgoQuant 2.1.0 is now released
  • SuanShu 4.0.0 is now released

Recent Comments

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  • JC on Change of Measure/Girsanov’s Theorem Explained
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Recent Posts

  • Transforming a QP Problem to an SOCP Problem
  • Fastest Java Matrix Multiplication
  • Using Returns in Pairs Trading
  • SuanShu is the Best Numerical and Statistical Library, ever!
  • On Some Practical Issues when Using AlgoQuant to Compute the Markowitz Efficient Frontier
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