This course introduces students to quantitative trading. A trader usually starts with an intuition or a vague trading idea. Using mathematics, s/he turns the intuition into a quantitative trading model for analysis, back testing and refinement. When the quantitative trading model proves to be likely profitable after passing rigorous statistical tests, the trader implements the model on a computer system for automatic execution. In short, quantitative trading is the process where ideas are turned into mathematical models and then coded into computer programs for systematic trading. It is a science where mathematics and computer science meet. In this course, students study trading strategies from the popular academic literature and learn the fundamental mathematics and IT aspects of this emerging field. By working on the class projects, they will gain hands-on experience. After satisfactorily completing this course, the students will have the necessary quantitative, computing, and programming skills in quantitative trading. They are therefore well prepared for a front office role in hedge funds or banks.

This course covers some popular trading strategies such as technical analysis, trend following, mean reversion, factor model, portfolio optimization as well as risk management. We examine these strategies from the perspective of quantitative mathematics. This course has been taught in many universities and organizations including National University of Singapore, Nanyang Technological University, Hong Kong University of Science and Technology and Fudan University.