Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,
| Module 1 | 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 |
| Unit 1 | Cointegration based test on Market efficiency |
| Unit 2 | Cointegration with Engle and Granger Test and error correction model |
| Module 3 | Autoregressive |
| Unit 1 | Autoregressive (AR) estimation models |
| Unit 2 | Autocorrelation with t-ratio and Ljung Box tests |
| Module 4 | 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 |