A curated dumpyard of essential reads for quantitative finance, trading, MEV, and research.
Whether you're diving into market microstructure, exploring high-frequency trading strategies, or just hoarding alpha PDFs like the rest of us—this is your scroll.
- 🏦 Trading strategy papers (HFT, stat arb, execution models)
- ⚙️ MEV research and decentralized market dynamics
- 📈 Quant theory and modeling techniques
- 🧾 Assorted PDFs worth hoarding for rainy day signal-sniffing
| Name | Link | Small Description |
|---|---|---|
| Avellaneda Stoikov Model | link | A foundational model for optimal market making. |
| Better Arb Detection DEX | link | Techniques for identifying arbitrage on DEXs. |
| CFMM Convex Optimization | link | Optimization strategies for CFMM-based trading. |
| Market Making Strategies Comparison | link | A comparative analysis of MM strategies. |
| Curvature of CFMM | link | A mathematical study of CFMM curve structures. |
| First Spammed First Served | link | Exploring MEV and transaction ordering. |
| Improved Price Oracles CFMM | link | Enhancing oracle accuracy in AMMs. |
| Marginal Price Optimization | link | Techniques for marginal pricing in trades. |
| Market Impact for Limit Orders | link | Study on price impact of limit order strategies. |
| More Money Than God | link | A riveting history of hedge funds and the maverick traders who defied markets, shaped finance, and got fabulously rich—until they didn’t. |
| Optimal Trade Execution Mean Reversion | link | Optimal execution using mean-reversion signals. |
| PT Token Risk Assessment Framework | link | A risk model framework for protocol tokens. |
| Advances in Financial Machine Learning by Marcos López de Prado | link | A comprehensive guide to financial machine learning. |
| High-frequency market-making with inventory constraints and directional bets | link | Extends the Avellaneda Stoikov model to make directional bets on market trends and keep inventory risk under control. |
| The Financial Hacker | link | A blog that provides a new view on algorithmic trading. |
| Giuseppe Paleologo's Resources | link | Resource hub for Giuseppe Paleologo, collecting his talks, interviews, writings, and book publications on quantitative investing, portfolio management, and factor modeling. |
| A Primer on Alternative Risk Premia | link | Exploring alternative risk premia, their performance, and role in portfolio construction and hedge fund analysis. |
| Building Cross-Sectional Systematic Strategies By Learning to Rank | link | Introduces learning-to-rank algorithms to improve asset ranking in cross-sectional strategies, significantly boosting trading performance and Sharpe ratios. |
| Carry | link | Generalizes the concept of carry across asset classes, showing it as a powerful, unified predictor of returns beyond known factors, though driven partly by macro risks. |
| Order Flow and Market Profile Course | link | This course teaches the foundations of trading and a step-by-step method for using market profile and order flow together to develop a robust trading strategy. |
Thanks to these folks for curating and contributing to this collection: