Re: Introduction to Algorithmic Trading Strategies 2013 @ HKUST

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It was a very informative and interesting course and I like it a lot in the following ways:

1. Course content
The course content covers a wide range of topics from HMM to portfolio optimization. And Dr. Li teaches more than the lecture notes. The lecture involves a lot of interaction and Dr. Li talks many of his industry experiences and gives much insight in terms of trading, quantitative modeling, job hunting or just random trivia that are fun. 🙂

2. Teaching style
I like the way Dr. Li challenges students and ask questions all the time, and that keeps everyone’s attention. Some students may think some of his opinions are controversial, but I think it’s not bad to have controversial ideas / comments, otherwise there is no critical thinking.

3. Lab session and homework
Though a lot of students didn’t enjoy the lab session, I found it very useful. I provides hands-on experience and gives an rough idea how theories and models are turned into programs. It is also very useful when you tweak parameters to calibrate, which gives more intuition how the model works in real world. Unfortunately we canceled the last two labs (possibly due to popular vote?) 🙁

Homework was not easy and is quite useful. And there were many open questions like writing a report after some research, which takes time and critical thinking.

4. SuanShu/AlgoQuant
SuanShu/AlgoQuant is a Java library (with demos) provided by the lecture and is a very powerful and comprehensive tool for numerical methods and statistical modeling and simulations. Especially during the lab sessions, Dr. Li demonstrated how to use this library to build different models and calibrate them. We used the library to work on our project which took almost the whole semester to complete.

Overall, I think this is a very good course and I would recommend any student (even those with working experiences like myself) to take this course.

If there is any future improvement – maybe there are two: 1. maybe next time a microphone can be used because it’s hard to listen from the back of such a big classroom. 2. please don’t cancel any lab sessions 🙂

Liu Zeting (Boris)