https://pinboard.in/u:vivekarora/public/ recent bookmarks from vivekarora 2020-08-23T18:04:56+00:00 https://towardsdatascience.com/how-to-make-data-driven-decisions-with-contextual-bandits-the-case-for-bayesian-inference-cc2f2913ebec vivekaroraContextual_MultiArmed_Bandit https://pinboard.in/ https://pinboard.in/u:vivekarora/b:88004c690b66/ 2020-08-23T17:24:51+00:00 https://engineering.nordeus.com/contextual-bandits-for-in-app-recommendation/ vivekaroraContextual_MultiArmed_Bandit https://pinboard.in/ https://pinboard.in/u:vivekarora/b:36c4b12fba79/ 2020-05-03T02:48:21+00:00 https://arxiv.org/pdf/1901.08740.pdf vivekarorahttps://pinboard.in/u:vivekarora/b:104126388d6c/ 2019-11-14T01:44:45+00:00 http://andamooka.org/~dsweet/Presentations/HFT_Opt_20190416.pdf vivekaroraHFT Bandit https://pinboard.in/u:vivekarora/b:6f408cee8ed7/ 2019-08-17T01:13:04+00:00 https://tspace.library.utoronto.ca/bitstream/1807/91359/3/Anis_Hassan_201811_MAS_thesis.pdf vivekaroraOptimal_Execution Adaptive Shrinking_Horizon https://pinboard.in/ https://pinboard.in/u:vivekarora/b:e9c8fb24803f/ 2019-08-05T00:01:12+00:00 https://arxiv.org/pdf/1907.06230.pdf vivekaroraPrediction Signals Order_Flow Limit_Order_Book https://pinboard.in/ https://pinboard.in/u:vivekarora/b:d81573b3caa4/ 2019-08-04T18:05:39+00:00 http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.696.8696&rep=rep1&type=pdf vivekaroraOptimal_Execution Limit_Order_Model https://pinboard.in/ https://pinboard.in/u:vivekarora/b:06d7f0906de4/ 2019-08-04T18:01:54+00:00 https://www.politesi.polimi.it/bitstream/10589/139288/3/2018_04_Sakurai.pdf vivekaroraLimit_Order_Model Optimal_Execution https://pinboard.in/ https://pinboard.in/u:vivekarora/b:c055e7cf9c94/ 2019-04-28T23:41:04+00:00 https://www.endtoend.ai/slowpapers/neural-fitted-q-iteration/ vivekaroraReinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:3e86262dbb0c/ 2019-04-28T23:40:12+00:00 https://www.endtoend.ai/slowpapers/a-deeper-look-at-experience-replay/ vivekaroraExperience_Replay Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:5dc085f7c3c1/ 2019-04-27T17:51:16+00:00 https://www.investmentbank.barclays.com/content/dam/barclaysmicrosites/ibpublic/documents/investment-bank/equities/Barclays_Electronic%20Trading%20FAQs_EMEA_November%202018.pdf vivekaroraFAQ Barclays Competition Routing https://pinboard.in/ https://pinboard.in/u:vivekarora/b:98a98c6efb50/ 2019-04-06T13:26:53+00:00 http://web.stanford.edu/class/cme241/ vivekaroraReinforcement_Learning Lectures https://pinboard.in/ https://pinboard.in/u:vivekarora/b:292d6b5137ed/ 2019-03-27T20:24:26+00:00 https://oregonstate.instructure.com/files/67025088/download?download_frd=1 vivekaroraReinforcement_Learning Batch https://pinboard.in/ https://pinboard.in/u:vivekarora/b:77a3799b336a/ 2019-03-27T20:10:11+00:00 https://datascience.stackexchange.com/questions/27311/reinforcement-learning-on-data-only-no-emulators vivekaroraReinforcement_Learning Experience_Replay https://pinboard.in/ https://pinboard.in/u:vivekarora/b:4244f534f6f7/ 2019-03-01T02:27:37+00:00 https://arxiv.org/pdf/1506.01054.pdf vivekaroraQ-Learning Reinforcement_Learning FittedQ https://pinboard.in/ https://pinboard.in/u:vivekarora/b:dce747e16d89/ 2019-02-19T04:09:40+00:00 http://andamooka.org/~dsweet/Presentations/Optimization_HFT_B.pdf vivekaroraSignals Simulation Bandit Q-Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:7415e2286b45/ 2019-02-19T02:49:48+00:00 https://arxiv.org/pdf/1811.03718.pdf vivekaroraOptimal_Execution Signals https://pinboard.in/ https://pinboard.in/u:vivekarora/b:fed31a20c24a/ 2019-02-16T15:36:06+00:00 https://github.com/cbyn/bitpredict vivekaroraPrediction Bitcoing XGBoost https://pinboard.in/ https://pinboard.in/u:vivekarora/b:8ee5d00dad28/ 2019-02-10T14:09:50+00:00 https://medium.com/@vikati/the-rise-of-the-model-servers-9395522b6c58 vivekaroraMachine_Learning https://pinboard.in/u:vivekarora/b:7e3793c1ea61/ 2019-02-10T02:19:31+00:00 https://pdfs.semanticscholar.org/03fd/37aba0c900e232550cf8cc7f66e9465fae94.pdf vivekaroraReinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:d2c9350366c4/ 2019-02-09T22:00:35+00:00 https://www.ceremade.dauphine.fr/~brugiere/files/HoF2018%20ML%20in%20Finance/HoF2018%20CA%20Lehalle.pdf vivekaroraMachine_Learning Optimal_Execution WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:a2f744c4e663/ 2019-02-03T20:14:18+00:00 http://proceedings.mlr.press/v80/srouji18a/srouji18a.pdf vivekaroraReinforcement_Learning Low_Latency https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ab9171e9c494/ 2019-02-03T14:05:09+00:00 https://liu.diva-portal.org/smash/get/diva2:1239212/FULLTEXT01.pdf vivekaroraOptimal_Execution Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:bd43b53b4d7d/ 2018-12-15T20:18:38+00:00 https://www.elitetrader.com/et/threads/automating-closing-out-stock-position-with-large-spread-and-high-volatility.317833/#post-4598352 vivekaroraSmallCap Algorithmic_Trading https://pinboard.in/u:vivekarora/b:d7967dd043f1/ 2018-12-15T17:16:28+00:00 https://www.bofaml.com/content/dam/boamlimages/documents/articles/C1_062/guide_to_us_cash_equities_electronic_trading_services_final.pdf vivekaroraBAML Algorithmic_Trading https://pinboard.in/u:vivekarora/b:d6021a9e5999/ 2018-12-15T17:12:17+00:00 https://www.bofaml.com/content/dam/boamlimages/documents/articles/C1_062/us_equity_execution_venues.pdf vivekaroraBAML https://pinboard.in/u:vivekarora/b:f9fdfc8d4bb0/ 2018-12-15T17:07:56+00:00 https://campus.bankofamerica.com/content/dam/boamlimages/documents/PDFs/electronic_trading_guide.pdf vivekaroraWhitePaper BAML Algorithmic_Trading FIX_Spec https://pinboard.in/u:vivekarora/b:81ac549f2235/ 2018-12-15T16:59:54+00:00 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https://www.ii.pwr.edu.pl/~rweron/S3/Tran_20180222.pdf vivekaroraSimulation Hawkes_Process Limit_Order_Book https://pinboard.in/ https://pinboard.in/u:vivekarora/b:528bfe998b34/ 2018-08-07T00:21:19+00:00 http://www.simonouellette.com/uploads/4/9/3/6/49366721/backtesting_discrepancies_and_order_book_simulation.pdf vivekaroraSimulation Deep_Learning Limit_Order_Book https://pinboard.in/u:vivekarora/b:9298584d401d/ 2018-07-27T11:08:28+00:00 https://poseidon01.ssrn.com/delivery.php?ID=351084105114076089066003126121126074037024090008032052023105015111104100092001068011059012033058039112110023092119102086084104103046069078020027001102081110102000089018040028024085011081113064083111092083024122027090121097112069019109069026002000017065&EXT=pdf vivekaroraImbalance Market_Impact WhitePaper https://pinboard.in/u:vivekarora/b:0c505325f4b8/ 2018-06-26T00:36:52+00:00 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2416635 vivekaroraOptimal_Execution Intra-day_volatility AlphaDecay Alpha_Profiling https://pinboard.in/ https://pinboard.in/u:vivekarora/b:efe8ca153f3a/ 2018-06-09T15:33:03+00:00 https://knect365.com/quantminds/article/10d3b420-fe65-4269-b1da-ab555a509958/the-latest-in-loxm-and-why-we-shouldnt-be-using-single-stock-algos vivekaroraLimit_Order_Model Portfolio_Strategy Portfolio_Algorithm Market_Impact Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:878f9c4ab08e/ 2018-06-04T00:04:28+00:00 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3057570 vivekaroraOptimal_Execution Alpha Signals https://pinboard.in/ https://pinboard.in/u:vivekarora/b:d59e1fdd741c/ 2018-06-03T23:31:44+00:00 https://github.com/lily9423/RLinTrading vivekaroraAlgorithmic_Trading Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:2dbad8a2c190/ 2018-06-03T23:28:42+00:00 https://arxiv.org/pdf/1805.07478.pdf vivekaroraSimulation Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:3c9ded34dbcc/ 2018-06-03T21:36:07+00:00 https://arxiv.org/pdf/1804.04216.pdf vivekaroraMachine_Learning TileCoding Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:1a3462a4c9bd/ 2018-04-10T00:53:08+00:00 https://pdfs.semanticscholar.org/66fe/38dab8479bbdb08be8ffbd65ce9a9c4fba79.pdf vivekaroraSimulation Limit_Order_Book https://pinboard.in/u:vivekarora/b:46db0d33e22a/ 2018-04-08T12:59:49+00:00 https://arxiv.org/pdf/1710.03870.pdf vivekaroraHigh_Frequency Simulation Backtesting Deep_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:3e8cb5abe1aa/ 2018-04-08T12:47:49+00:00 https://poseidon01.ssrn.com/delivery.php?ID=109064031101123073024013072070102076099057086000017035067090106103113021091105002100056057025002110121052124026111085083119030022073038044032007096031066072074014066084077054104017071025095078020107100017004123100079099090127024076127022072081072004110&EXT=pdf vivekaroraSimulation Backtesting Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:57828dab7405/ 2018-04-08T12:36:46+00:00 https://arxiv.org/pdf/1802.01528.pdf vivekaroraDeep_Learning Calculus https://pinboard.in/ https://pinboard.in/u:vivekarora/b:b93bc75e30b6/ 2018-04-08T12:20:00+00:00 https://www.acumos.org/wp-content/uploads/sites/61/2018/03/acumos_open_source_ai_platform_032518.pdf vivekaroraMachine_Learning https://pinboard.in/u:vivekarora/b:0d441701df78/ 2018-04-05T00:38:57+00:00 http://www.bestexecution.net/trading-sors/ vivekaroraSmart_Order_Routing WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:9435d0e8be9c/ 2018-04-05T00:26:26+00:00 http://infrontfinance.com/media/1598/neonet_sor_leaflet.pdf vivekaroraSmart_Order_Routing WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:c110bbed25c7/ 2018-03-30T23:11:58+00:00 http://www.neonet.com/Documents/Offering/Smart%20Order%20Routing%20Logic%20-%20How%20SORs%20hunt%20dark%20liquidity.pdf vivekaroraSmart_Order_Routing WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:0abfc6d793a6/ 2018-03-21T18:44:31+00:00 https://www.innoq.com/en/blog/thoughts-on-a-canonical-data-model/ vivekarorahttps://pinboard.in/ https://pinboard.in/u:vivekarora/b:e1e82a5ac191/ 2018-03-21T16:05:03+00:00 https://christophm.github.io/interpretable-ml-book/ vivekarorahttps://pinboard.in/ https://pinboard.in/u:vivekarora/b:ee380530a41b/ 2018-03-21T12:32:55+00:00 http://www.business-science.io/business/2016/09/04/CustomerSegmentationPt2.html vivekarorahttps://pinboard.in/u:vivekarora/b:ff3a2ffab745/ 2018-03-19T00:29:12+00:00 https://www.cis.upenn.edu/~mkearns/papers/marketmaking.pdf vivekaroraMarket_Making MeanReversion Volatility Limit_Order_Model https://pinboard.in/ https://pinboard.in/u:vivekarora/b:cb5b67f533ed/ 2018-03-07T20:55:55+00:00 https://scila.se/wp-content/uploads/2017/09/Thesis-HMM.pdf vivekaroraHidden_Markov_Models Particle_Filter Imbalance Monte_Carlo https://pinboard.in/ https://pinboard.in/u:vivekarora/b:4bf6e60a2e1e/ 2018-03-04T21:39:29+00:00 https://jefferies.com/Handler-NewsArticles.ashx?FID=28 vivekaroraIntra-day_volatility Spread Limit_Order_Model https://pinboard.in/ https://pinboard.in/u:vivekarora/b:f576c45f8100/ 2018-03-04T14:35:22+00:00 http://www.thetrade-digital.com/thetrade/issue_49_autumn_2016/MobilePagedReplica.action?pm=1&folio=25#pg25 vivekaroraDagger Liquidity_Seeking https://pinboard.in/u:vivekarora/b:df9bfda21593/ 2018-03-04T03:02:27+00:00 https://arxiv.org/pdf/1511.00740.pdf vivekaroraSpoofing Anti-Gaming Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:023c9b7c2c14/ 2018-02-19T01:54:50+00:00 https://www.alexirpan.com/2018/02/14/rl-hard.html vivekaroraReinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:af0cd61d8dc3/ 2018-02-18T21:51:57+00:00 http://www.diva-portal.se/smash/get/diva2:963057/FULLTEXT01.pdf vivekaroraMarket_Impact Simulation Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:204c5b054759/ 2018-02-03T10:59:25+00:00 https://web.stanford.edu/class/msande444/2010/2010p8.pdf vivekaroraSimulation Hawkes_Process https://pinboard.in/u:vivekarora/b:cf7850c14b3d/ 2018-01-20T13:07:29+00:00 https://arxiv.org/pdf/1708.02715.pdf vivekaroraLimit_Order_Book Alpha Order_Flow https://pinboard.in/u:vivekarora/b:c9896c530373/ 2018-01-15T16:26:13+00:00 http://medianetlab.ee.ucla.edu/papers/trade_execution.pdf vivekaroraOptimal_Execution Almgren Implementation_Shortfall https://pinboard.in/ https://pinboard.in/u:vivekarora/b:68daacc14a55/ 2018-01-09T03:18:27+00:00 https://arxiv.org/pdf/1710.01452.pdf vivekaroraDark_Pools Hawkes_Process Hidden_Liquidity_Prediction Dagger https://pinboard.in/ https://pinboard.in/u:vivekarora/b:6558653406c0/ 2017-12-18T23:27:33+00:00 https://datascience.stackexchange.com/questions/758/tools-and-protocol-for-reproducible-data-science-using-python vivekaroraPython Reproducible_Research https://pinboard.in/ https://pinboard.in/u:vivekarora/b:8aae2cc49b4a/ 2017-12-14T02:04:29+00:00 http://www.tradersmagazine.com/news/algos_dma/mifid-ii-what-are-the-testing-implications-for-algorithmic-trading-117012-1.html?pg=2ET=tradersmagazine:e3452:1111035a:&st=email vivekaroraTesting MiFID2 https://pinboard.in/ https://pinboard.in/u:vivekarora/b:285118a27ed6/ 2017-11-27T19:25:32+00:00 http://img.bimba.edu.cn/resources/file/9/2016/04/13/20160413101730462.pdf vivekaroraMarket_Microstructure Simulation Microprice https://pinboard.in/ https://pinboard.in/u:vivekarora/b:4aa98b16e082/ 2017-11-27T03:45:18+00:00 https://www.bloomberg.com/professional/blog/toxicity-its-not-reserved-just-for-the-dark-pools/ vivekaroraVenueAnalysis Toxicity Dark_Pools https://pinboard.in/ https://pinboard.in/u:vivekarora/b:4cde4e4e9ae9/ 2017-11-25T18:00:24+00:00 http://www.goldmansachs.com/what-we-do/securities/gset/equities/liquidity-access/electronic-trading-questionaire-gset.pdf vivekaroraGoldman WhitePaper Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ff5a39990d11/ 2017-11-25T17:58:33+00:00 https://www.virtu.com/uploads/documents/KCG_TS_Catch-Algo-Sheet.pdf vivekaroraLiquidity_Seeking Dagger https://pinboard.in/ https://pinboard.in/u:vivekarora/b:51bdb554a42b/ 2017-11-19T01:10:51+00:00 https://web.stanford.edu/class/msande448/2016/final/group5.pdf vivekaroraAlpha Simulation Microprice Machine_Learning Market_Making https://pinboard.in/ https://pinboard.in/u:vivekarora/b:fc3b236a8f60/