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

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

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