Introduction to Algorithmic Trading Strategies

 

 

Course Description

 

This course is to introduce students to quantitative trading. Traders usually start with an intuition or a vague trading idea. †Using mathematics, they turn 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 the rigorous statistical tests, the traders implement the model on computer systems 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 sciences meet. †In this course, students study trading strategies from the popular 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.

 

 

Course Outline

Please note that the files can only be opened properly by Microsoft Office 2010.

 

Week

Topics

Readings

Homeworks

1

Overview of Algorithmic Trading

Lecturer handout

 

2

Hidden Markov Trading Model

Lecturer handout

hw1

3

Pairs Trading by Cointegration

Lecturer handout

hw2

4

Optimal Pairs Trading by Stochastic Control

Lecturer handout

hw3

5

Pairs Trading by Stochastic Spread Methods

Lecturer handout

 

6

Technical Analysis: Linear Trading Rules

Lecturer handout

 

7

Portfolio Optimization

Lecturer handout

hw4

8

Risk Management

Lecturer handout

 

 

 

Recommended Readings

Numerical Methodís collection of Quantitative/Algorithmic Trading Literature

 

Student Projects

            The quantitative trading strategies group projects for FE8827, 2011, Nanyang Technological University.

            The quantitative trading strategies group projects for QF5205, Fall 2011, National University Of Singapore.

 

Student Feedback

            2013 @ The Hong Kong University of Science & Technology

            2012 @ National University of Singapore

            2012 @ Nanyang Technological University

            2012 @ HKUST

            2011 @ Nanyang Technological University

            2011 @ FuDan University (复旦大学)