Statistical Arbitrage

R Source code with few example:
http://blog.quanttrader.org/tag/statistical-arbitrage/
https://www.quantopian.com/posts/trading-strategy-statistical-arbitrage-and-mean-reversion
http://code.google.com/p/diversified-statistical-arbitrage/downloads/detail?name=Code.zip&can=2&q=
http://sourceforge.net/projects/stocknet/

Volatility:

http://hypervolatility.com/quantitative-research/options-greeks-deltagammavegathetarho/

Paper:

http://ssrn.com/abstract=141615  (Pair trading: Performance of relative value arbitrage)

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1153505
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1017307
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=890234
http://www.math.nyu.edu/faculty/avellane/Lecture11Quant.pdf
http://www.markit.com/news/volatility-arbitrage.pdf
http://www.slideshare.net/Eagle81/volatility-arbitrage-with-options
https://www.linkedin.com/groups/Volatility-Arbitrage-Traders-2085627?home=&gid=2085627&trk=anet_ug_hm&goback=%2Egmp_2085627
http://www.stoxx.com/download/articles/article_giese_201008.pdf

http://europe.etf.com/europe/publications/journal-of-indexes/articles/8611-index-arbitrage-explained.html?fullart=1&start=6

http://quant.stackexchange.com/questions/11052/volatility-arbitrage-how-is-the-profit-extracted
http://marketheist.com/strategy/arbitrage/volatility-arbitrage/
http://www.researchgate.net/publication/228230701_Volatility_Arbitrage_Indices_-_A_Primer
http://hedgefund.blogspot.in/2007/05/hedge-fund-arbitrage.html
http://nesres.geonsk.com/1485/stat%20arbitragelecture%207.pdf
http://arbitragestrategy.com/statistical-arbitrage/

Willmot paper on VOL ARB:
http://quantlabs.net/blog/2014/03/which-free-lunch-would-you-like-today-sir-delta-hedging-volatility-arbitrage-and-optimal-portfolios/

Basics of ARMA model:
http://pages.stern.nyu.edu/~churvich/TimeSeries/Handouts/Intro.pdf

http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Thomaidis_2006.pdf

http://web-docs.stern.nyu.edu/salomon/docs/derivatives/GSAM%20-%20NYU%20conference%20042106%20-%20Correlation%20trading.pdf

From Mentors:

http://www.egartech.com/research_dispersion_trading.asp

http://erasmus-mundus.univ-paris1.fr/fichiers_etudiants/5007_dissertation.pdf

http://math.nyu.edu/faculty/avellane/Lecture10Quant.pdf

http://www.ivolatility.com/doc/Dispersion_Article.pdf

http://condoroptions.com/2008/11/03/dispersion-trading-reading-list/

Others :

http://www.volcube.com/resources/options-articles/vega-neutral-trading-strategies/

http://people.math.gatech.edu/~shenk/OptionsClub/vegaTalk.pdf

http://asia.spindices.com/resource-center/thought-leadership/spiva/

( 2013-spiva-ferri-benke-case-for-index-fund-portfolios.pdf)

Dispersion:

http://us.spindices.com/documents/research/research-dispersion-measuring-market-opportunity.pdf

http://www.incisivemedia.com/hfr/specialreport/VolArbSupp.pdf

http://arxiv.org/pdf/1004.0125.pdf

http://www.acsw.us/fall10/Wiesner.pdf

http://www.diva-portal.org/smash/get/diva2:629651/FULLTEXT01.pdf

http://www.supercc.com/presentations/voldispersion.pdf

http://arno.uvt.nl/show.cgi?fid=115343

http://ftalphaville.ft.com/2011/06/17/597511/a-12bn-dispersion-trade/

http://mpra.ub.uni-muenchen.de/22318/1/Studying_the_Properties_of_the_Correlation_Trades.pdf

http://www.garp.org/media/1481114/practicalconsiderationsandrisks-portfoliotrading_indexarbitrageanddispersiontrading_roychiong_102214.pdf

Variance SwaP: ++

http://www.cfe.cboe.com/education/finaleuromoneyvarpaper.pdf

http://quantlabs.net/academy/download/free_quant_instituitional_books_/%5BJP%20Morgan%5D%20Variance%20Swaps.pdf

https://www.google.com.hk/url?sa=t&rct=j&q=&esrc=s&source=web&cd=29&cad=rja&uact=8&ved=0CFwQFjAIOBQ&url=http%3A%2F%2Fwww.aifm-federation.at%2Findex.php%3Fid%3D631%26no_cache%3D1%26cid%3D3335%26did%3D1771%26sechash%3D30d36d1d&ei=6sp1VNubBse-uATJ-oLQAQ&usg=AFQjCNELL4bVtd6iTuxgoCoXwMmmvlh59w

http://sbossu.com/docs/VarSwaps.pdf

http://www.risk.net/data/risk/pdf/technical/risk_1005_79-84.pdf

Hyper channel:

http://hypervolatility.com/hypervolatility-channel/

Gamma Articles:

http://www.surlytrader.com/option-strategy-long-gamma-short-vega/

https://www.thinkorswim.com/tos/displayPage.tos?webpage=lessonGreeks

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Trading Knowledge

http://asia.spindices.com/search/?ContentType=Research&AssetFamily=all-strategy

http://www.tradingpicks.com/futures_education.htm

http://www.tradingacademy.com/resources/financial-education-center/order-routing.aspx

http://www.thehedgefundjournal.com/node/6402

http://www.algotrades.net/algorithmic-trading-strategies/

http://www.quantstart.com/articles/beginners-guide-to-quantitative-trading

http://numericalmethod.com/introduction-to-algorithmic-trading-strategies/

http://tradingalgox.com/blog/

Lectures:

http://numericalmethod.com/papers/course1/lecture2.pdf

FIX protocol:

http://www.onixs.biz/fix-dictionary/4.2/msgType_D_68.html

https://www.tradingview.com/stock-charts-support/index.php/Average_True_Range_(ATR)

// find out and download

1.

SECURITIES AND EXCHANGE COMMISSION
17 CFR PART 242
[Release No. 34-61358; File No. S7-02-10]
RIN 3235-AK47
Concept Release on Equity Market Structure

2.

Current Perspective on Modern Equity Markets.

A set of essay by financial industry experts.

Compiled by the Knights Capital

3. Market Making papers

4.

BIS Working Papers
No 343
Market structures and systemic risks of exchange-traded funds
by Srichander Ramaswamy
Monetary and Economic Department
April 2011

News from the Citi ATD:
http://wallstreetonparade.com/2014/06/citigroup%E2%80%99s-dark-pools-here%E2%80%99s-why-the-public-doesn%E2%80%99t-trust-wall-street/
http://www.atdesk.com/pdf/AUTO_OrderHandling.pdf
http://www.bloomberg.com/news/2012-08-30/citigroup-pays-atd-executives-again-in-590-million-deal.html

Algorithmic Trading Links

1. https://www.quantnet.com/forum/quant-programs.25/

2. http://www.quantstart.com/articles/Quantitative-Finance-Reading-List

3. http://www.quantstart.com/articles/Free-Quantitative-Finance-Resources

4. http://quantivity.wordpress.com/2010/01/10/how-to-learn-algorithmic-trading/

5. http://www.quantpedia.com/Screener?FilterComplexity=Moderately%20complex%20strategy

6. https://www.quantconnect.com/

7. http://www.wildbunny.co.uk/blog/2013/03/15/algorithmic-trading-for-dummies/

8. http://www.algowize.com/Algorithm_Trading_FAQ.htm

9. http://algotradingindia.blogspot.in/

10. http://en.tradimo.com/learn/indicators/ATR/

11. http://www.asiapacfinance.com/blog/2012/04/12/how-to-improve-your-trading-using-average-true-range-atr/

12. http://www.oxfordstrat.com/trading-strategies/

13. http://tradingsim.com/blog/simple-moving-average/

14.http://daytrading.about.com/od/daytradingcharts/a/ReadCandle.htm

15. http://www.docstoc.com/docs/66731311/Candlestick-Bearish-Patterns

16. http://algorithmicfinance.org/ http://www.cboeoptionshub.com/2012/07/10/volatility-arbitrage-by-fari-hamzei-2012-07-10-7-08/

17. HFT new paper 2014,

http://fas.org/sgp/crs/misc/R43608.pdf

18. http://www.optionstar.com/art/art2.htm  Option Strategy