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Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,
Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,
Module 1 | Arbitrage |
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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 |
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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 |