• Literature Review on Optimal Order Execution (1)

I'm recently reading several papers on modelling stock order behavior and its corresponding optimal strategies. Compared with classical quantitative trading strategies, serious research on order optimization has a short history as its major importance dazzles in high frequency trading (HFT), one of the youngest childs of finance. I'll wrap up the main ideas and methodologies below in a paper-wise manner. Further unregular updates on this post are expected. Specifically, the models below are trying to answer this question: how much time should I expect before my limit order gets executed?

• Switched Hexo Theme to Apollo

I've been using the well-developed NexT theme for this Hexo blog since I built it. The old theme was fantastic, with a broad header, strong local search, neat, animated two-column layout and various comment systems including valine[1] and gitment[2]. However, it's a two-edged sword to have so many features binded, and more importantly, presented right within such a simple layout. Eventually, I realized that I actually don't need the spacious header or the animated sidebar (I do, though, need local search, and we'll return to that below). After exhaustively browsing the Hexo theme list, eventually I chose Apollo.

• Cryptocurrency Arbitrage: Some Ideas

Coinbase has just launched BCH as an alternative to BTC because of the high transaction fees and annoying delays of the latter one. As a result, the exchange rate of USD/BCH rocketed tenfolds within 24 hours. Together with BTC, mainstream altcoins like ETH and ETC faced significant slump since a week ago. On contrary, XRP, because of the rumored endorcement from big companies like Amazon, is experiencing a straight appreciation of almost 100% since two weeks ago.

• Ensemble Modeling in a Binary Classification Problem in Chinese A-Share Market

In this research paper we try to use as much information on a stock as we can on Ricequant, to train a robust binary classifier for expected returns on a rolling basis. As an extra, we create a brand-new accuracy metric based on behavioral economics for model traing, which enhanced the fitting of the models (in the language of classical metrics, e.g. accuracy or pricision scores) by 3 to 5 times. The advantage of this new metric will be covered in the corresponding sector.

• How to Build C++ Projects with STDIN in Sublime Text 3

I've been a die-hard fan of Sublime Text (ST), all the time from the 2nd to the 3rd version now.

• How to Get Legends Out of the Plotting Area in R

Recently when writing a course report, I encountered a tricky problem in R programming: how can I include the legends while making sure that they don't overlay the plots?

• How I collected over 600k lines of prices in China

Hey there you are. I'm finally back here after over two months without posting anything. Was I being lazy? No, definitely not. It would be the busiest summer you've ever heard. I carried out several projects, some still in progress and the others finished in July and August. Start from today on, I'm gonna share you guys what I did this summer, in five or six posts I suppose.