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Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,
Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,
Module 1 Arbitrage
Arbitrage
Unit 1 Event arbitrage using point forecasts, corporate news, and use within forex
Unit 2 Market neutral arbitrage using CAPM
Unit 3 Statistical arbitrage in high frequency setting Mathematical Foundation
Unit 4 Uncovered interest parity arbitrage
Unit 5 Liquidity arbitrage
Module 2 Pair Trading
Pair Trading
Unit 1 Cointegration based test on Market efficiency
Unit 2 Cointegration with Engle and Granger Test and error correction model
Module 3 Autoregressive
Autoregressive
Unit 1 Autoregressive (AR) estimation models
Unit 2 Autocorrelation with t-ratio and Ljung Box tests
Module 4 Quant Misc
Quant Misc
Unit 1 Non linear models with Brownian Motion
Unit 2 Nonparametric Estimation of Nonlinear Models
Unit 3 Orders Used in Microstructure Trading with Illiquid ratio Amihud
Unit 4 Probability of observing exactly k arrivals
Unit 5 Random walk theory for market inefficiency
Unit 6 Working with tick data for Bid ask spread
Unit 7 Core portfolio optimization framework
Unit 8 Volatility modelling
Quant Algorithm Course with Backtesting and Measurement
Quant Algorithm Course with Backtesting and Measurement
Module 1 Backtesting
Backtesting
Unit 1 Back-testing trading models with evaluating point forecasts
Module 2 Measurement
Measurement
Unit 1 Executing and monitoring high frequency trading with market aggressiveness selection
Unit 2 Market impact costs
Unit 3 Maximum number of intraday Sharpe ratio
Unit 4 Measuring credit and Counterparty risk
Unit 5 Measuring credit and Counterparty risk
Unit 6 Measuring Market Risk with Risk Management
Unit 7 Information based impact
Unit 8 Performance attribution also known as benchmarking
Unit 9 Profitability in limit orders
Unit 10 Portfolio optimization in the presence of transaction costs
Unit 11 Sharpe ratio from Chapter 5
Module 3 Simpler Algo
Simpler Algo
Unit 1 Simple returns, log return, and average returns
Unit 2 Skewness, Kurtosis (fat tail analysis), Volatility is variance of log or simple returns
Unit 3 Periodic or simple rate of return