biblio.bib

@book{Chan:2009, 
	author = "Ernest Chan",
	title = "Quantitative trading: how to build your own algorithmic trading business",
	year = "2009",
	publisher = "John Wiley & Sons, Inc"
}

@book{Chan:2013, 
	author = "Ernest Chan",
	year = "2013",
	title = "Algorithmic trading: winning strategies and their rationale",
	publisher = "John Wiley & Sons, Inc"
}

@book{Chan:2017, 
	author = "Ernest Chan",
	year = "2017",
	title = "Machine trading: Deploying Computer Algorithms to Conquer the Markets",
	publisher = "John Wiley & Sons, Inc"
}

@book{Campbell:1996, 
	author = "John, Campbell and Andrew, Lo and Craig, MacKinlay",
	year = "1996",
	title = "The Econometrics of Financial Markets",
	publisher = "Princeton University Press"
}

@book{Vidyamurthy:2004, 
	author = "Ganapathy Vidyamurthy",
	year = "2004",
	title = "Pairs Trading: Quantitative Methods and Analysis",
	publisher = "John Wiley & Sons, Inc"
}

@book{Ehrman:2006, 
	author = "Douglas Ehrman",
	year = "2006",
	title = "The Handbook of Pairs Trading: Strategies Using Equities, Options and Futures",
	publisher = "John Wiley & Sons, Inc"
}

@book{Pole:2007, 
	author = "Andrew Pole",
	year = "2007",
	title = "Statistical Arbitrage: Algorithmic Trading Insights and Techniques",
	publisher = "John Wiley & Sons, Inc"
}

@article{Gatev:2006, 
	author = "Evan, Gatev and William, Goetzmann and Geert, Rouwenhorst",
	year = "2006",
	title = "Pairs Trading: Performance of a Relative Value Arbitrage Rule",
	journal = "Review of Financial Studies",
	volume = {19},
	number = {3},
	pages = {797--827},
}

@book{Singal:2006, 
	author = "Vijay Singal",
	year = "2006",
	title = "Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing",
	publisher = "Oxford University Press"
}

@article{Heston:2008,
	author = {Steven, Heston and Ronnie, Sadka},
	year = "2008",
	title = "Seasonality in the Cross-Section of Expected Stock Returns",
	journal = "Journal of Financial Economics",
	volume = {87},
	number = {2},
	pages = {418--445},
	month = feb,
	url = "https://lcb1.uoregon.edu/rcg/seminars/seasonal072604.pdf",
}

@article{Rajamani:2009,
	author = {Murali, Rajamani and James, Rawlings},
	year = "2009",
	title = "Estimation of the Disturbance Structure from Data using Semidefinite Programming and Optimal Weighting",
	journal = "Automatica",
	volume = {45},
	pages = {142--148}
}

@article{Daniel:2016,
	author = {Kent, Daniel and Tobias, Moskowitz},
	year = "2016",
	title = "Momentum Crashes",
	journal = "Journal of Financial Economics",
	volume = {122},
	number = {2},
	pages = {221--247}
}

@article{Coval:2007,
	author = {Joshua, Coval and Erik, Stafford},
	year = "2007",
	title = "Asset fire sales (and purchases) in equity markets",
	journal = "Journal of Financial Economics",
	volume = {86},
	number = {2},
	pages = {479--512}
}

@misc{Rajamani:2007,
	author = {Murali Rajamani},
	title = {Data-based Techniques to Improve State Estimation in Model Predictive Control},
	year = {2007}
}

@misc{XYZQ:YuMingming:2015:5,
	author = {任瞳; 于明明},
	title = {“50 朋友圈”交易策略之二：50ETF 与 50 指数成分股套利机会挖掘},
	publisher = {兴业证券研究所},
	year = {2015}
}

@misc{DZQH:TianZhongze:2017:1,
	author = {田钟泽; 罗鑫明; 李晓辉; 章顺},
	title = {商品期货套利实证},
	publisher = {东证期货},
	year = {2017}
}

@misc{Voon,
	author = {David Voon, 李存修},
	title  = {ETF 套利研究},
	publisher = {上海证券交易所}
}

@book{SSE:2014,
	author = {上海证券交易所},
	title  = {ETF 投资: 从入门到精通},
	publisher = {上海远东出版社},
	year = {2014}
}

@book{ChengFeng:2010,
	author = {程峰; 王彬; 李玉霞; 唐向来; 宋琦},
	title = {ETF 套利绝招},
	publisher = {广东经济出版社},
	year = {2010}
}

@book{LiWei:2018,
	author = {李尉},
	title = {中国期货市场量化交易},
	publisher = {清华大学出版社},
	year = {2018}
}

@misc{VNPY:Tutorial,
	author = {用 Python的交易员},
	title  = {Python 量化交易平台开发教程系列},
	url = {http://www.vnpy.org/pages/tutorial.html}
}

@misc{SimNow,
	author = {上海期货信息技术有限公司 },
	title  = {CTP API 开发文档资料},
	url = {http://simnow.com.cn/}
}