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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 |
