Project Ideas
As close to production as it gets
Try implementing some of the following project ideas –
programming is best learned through practice
Module 1: Python for Finance
The lingua franca of data science, machine learning, and finance
- Implement the Kalman, extended Kalman, unscented Kalman, and particle filters in Python and compare their performance on generated data
- Implement a European vanilla option pricer with AAD using the JAX library
- Implement an optimal time series forecaster in Python using existing libraries such as xgBoost
Module 2: Databases in finance – Kdb+/q
An unrivaled tool for big data and high-frequency data
- Implement real-time Expected Shortfall in kdb+/q and visualise it for a fictional portfolio using KX Dashboards
- Build a monitoring and visualisation system for kdb+tick triplets
- Extend the quantQ kdb+/q library to support transformers
- Compare the performance of linear algebra in native kdb+/q and when interfacing with C++ implementations
- Write a generic time series visualisation suite using jQuery on top of kdb+/q
Module 3: C++ fundamentals with use cases from finance
Performance, production stability, and portability
- Implement an exotics pricing engine in C++ (you may extend the one developed by Mark Joshi in his “Design Patterns” book)
- Implement a value at risk (VaR) calculator in C++
- Implement an xVA calculation system for linear and nonlinear products in C++
Module 4: Data Structures and Algorithms in C++
The core of computing
- Achieve the best possible time complexity for multiplication of large matrices in C++
- Build a benchmarking suite to compare the performance of linear algebra routines in Eigen and XTensor
- Implement a library of lock-free data structures and algorithms in C++ along the lines of STL
Module 5: Designing algorithmic trading applications
State-of-the-art content
- Built a trading strategy backtesting environment on top of PyFolio
- Build low latency middleware for high frequency trading utilising both UDP and TCP
- Port the LMAX disruptor to C++
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