Market Notes; Differential Equations (1)
The last two posts implemented the C-level Limit Order Book and completed multivariable calculus treatments;
This update to the market notes is part 1 of (ordinary) differential equations. We will complete this in two parts. All of the above have been incorporated into the market notes, now 1009 pages.
The original plan was to look at partial differential equations, then follow on to SIMD intrinsics, which are programming with specialized instruction sets that speed up numerical computations.
On second thought, I am considering putting this off onto later, as I get a sense that the work here has been somewhat heavy on theory in the recent weeks, and maybe some of you might feel sluggish over that fact.
Perhaps I’ll bring on some trade setups, practical risk-premia harvesting, ideas and lessons for implementing strategies. It has been about slightly less than a year since I got into the crypto space, when I wrote my first article on it;
Quantpylib was very barebones back then, and since then - it has evolved significantly to accommodate multi-exchange, multi-instrument systematic arbitrage that I put into a lecture series;
https://hangukquant.thinkific.com/courses/qt410
The setup in that post is manual, and the lectures are nearly fully autonomous. In between, a large gradation of choices can be made in harvesting the same effect, to different scale and risk. There are many things on my mind, and perhaps we will explore some of these directions in the coming weeks/months.
Anyhow, differential equations: (market notes, paid)