COURSES: INTRODUCTION TO QUANTITATIVE TRADING STRATEGIES 2015

Course Description

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.

Text Book

Numerical Methods in Quantitative Trading, by Dr. Haksun Li, Dr. Waipun Ken Yiu, Dr. Kevin Haoyu Sun

Course Outline

Lesson
Topics
Reading
Homework
1
Overview of Quantitative Trading
Lecturer handout
hw1
2
Hidden Markov Model
Lecturer handout
hw2
3
Optimal Trend Following Strategy
Lecturer handout
hw3
4
Introduction to Reversal Trading by Cointegration
Lecturer handout
hw4
5
Optimal Reversal Trading Strategy
Lecturer handout
6
Reversal Trading by Stochastic Spread Methods
Lecturer handout
7
Small Mean Reverting Portfolio
Lecturer handout
hw5
8
Performance Measures
Lecturer handout
9
Quantitative Equity Portfolio Management
Lecturer handout
hw6
10
Risk Management
Lecturer handout
hw7