xinheliu/quantfinance

QuantFinance

Traditionally, Quantitative Finance is a displine focus on asset pricing and risk management based on quantitative and mathematical methods (the "Q-Quant"). After 2008, both academic and industry communities switch the focus to apply statistical and quantitative methods in investing(quantitative investing, the "P-Quant").

Knowledge Structure of a Quant

While this "quant" is an inter-displinary and fast changing occupation, some "must-have" fundations usually include

• Economics and Finance Fundations
  • Macroeconomics
  • Corporate Finance
• Investment Basics
  • Portfolio Management
  • Derivatives Pricing and Risk Management
• Quantitative Investing
  • Factor Investing
  • Statistical Arbitrage
  • Execution and e-Tradin
• Quantitative Methods
  • Machine Learning and Data Analysis
  • Numerical Methods
  • Optimization
  • Back-testing

Learning Resources

Trends in the Industry

Hedge-fund "Guru"s

• Statistical Arbitrage, Quantitative Strategies
  • Renaissance Technologies
    • James Simons
    • Robert Mercer
    • Peter Brown
• Quantitative Equity
  • AQR
    • Cliff Asness
• Fixed-Income Arbitrage
  • LTCM
    • Myron Scholes
• Convertible Arbitrage
  • Citadel
    • Ken Griffin
• Global Macro Strategie
  • George Soros
• Event Arbitrage
  • John A. Pulson
• Dedicated short bias
  • James Chanos

Top Voices in the Indutry

• Two Sigma
• AQR
• BridgeWater
• BlackRock
• Cantab Capital
• Alpha Architect

Academic Journals

Finance

Investment Practice Oriented Jounrals

• Journal of Portfolio Management
• Journal of Corporate Finance
• Journal of Empirical Finance
• Journal of Financial and Quantitative Analysis
• Journal of Financial Intermediation
• Journal of Financial Markets
• Journal of Financial Research
• Journal of Futures Markets
• Journal of International Money and Finance
• Pacific-Basin Finance Journal
• Review of Quantitative Finance and Accounting

Academic Research Oriented Journals

Economic "Big 5"

• American Economic Review
  • new and deep views
• Econometrica
  • theoritical
• Journal of Political Economy
  • Chicago
• Quarterly Journal of Economics
  • Havard
• Review of Economic Studies

"Big 3" in Finance

• Journal of Finance
• Review of Financial Studies
• Journal of Financial Economics

Others

• Journal of Financial and Quantitative Analysis
• Review of Finance
• Review of Asset Pricing Studies
• Review of Corporate Finance Studies
• Journal of Financial and Quantitative Analysis
• Journal of Banking and Finance

Financial Math

• Mathematical Finance
• Journal of Computational Finance
• Applied Mathematical Finance
• Journal of Risk
• Review of Derivatives Research
• Jounral of Credit Risk