Email Paul (QuantDeCal@gmail.com) to explain how you meet the course prerequisites: demonstrated interest in quant trading, and background in probability, trading, and programming. The following are guidelines, Probability: Semi-professional poker player wannabe; stat 134; or lots of reading and implementing statistical learning algorithms or something similar on your own time Trading: You've traded regularly in a personal account with margin; interned at a trading firm; or tested some models on historical data Programming: Putting yourself through college as a freelance programmer; CS major who has taken the 61 series and done well; or interned as a software developer Quantitative Trading DeCal: DeCal.info/Quant (Read our Syllabus!) This DeCal will focus on short-term trading opportunities, using technical analysis, with emphasis on developing trading strategies. If you're are interesting in long-term investments with emphasis on fundamentals then consider doing the Qualitative Investing DeCal: DeCal.info/Invest SyllabusDemand for graduates knowledgeable about finance with a quantitative background is high. Working as a quant trader is enjoyable: a typical workday is spent researching technology, behavioral economics, machine learning, or other topics, depending on your own interest; the compensation can be extremely compelling; and the hours are flexible.
This course is structured as a parallel series of lectures, reading, and homework. Lectures are graded by attendance, reading by a quiz in class, and homework by autograding scripts. Each counts for 1/3 of the grade points. Collecting 80% of the points is required to pass. All readings are provided, all homeworks use open source software.
Any assignment can be made up for by completing extra credit. For extra credit you may read something related to the class material. Write a little bit (~200 words) about it and email it to me. Spring 2014: Class meets weekly 7-9pm at Haas. The first day will be January 2014. Fall 2013: Class meets weekly on Wednesdays 7-9pm at Haas: C325. The first day is September 4th. Spring 2013: Class meets weekly on Tuesdays 7-9pm in Haas C335. The first day is January 22nd. Fall 2012: Class meets weekly on Wednesdays 7-9pm in Soda 320. The first day is September 5th.
Reading TopicsIntro & HistoryReminiscences of a Stock Operator Ch 1Grinold and Kahn Active Portfolio Management Ch 1
HistoryEmpirical Options Models
Grinold and Kahn Ch 12 - Information Analysis & Ch 13 - Information Horizon (not required) Optimization & Statistical LearningLiquidity & ExecutionSingle Curve Collapse of Price Impact Function Pages 1 & 2Programming/HardwareIB API Doc (understand Java API architecture)Homework
(due Midnight on the day before class) TopicsIntro Talk to someone else in the class. Write at least 250 words about what you found out about them. Turn in via email.HistorySet up meeting with trader/finance professional. Write at least 250 words about what you found out about them. Turn in via email. Liquidity & Execution
Coding Instructions
Platform The starter source code is designed to work on a Ubuntu Linux platform. If you are running Windows or Mac OS, you can set up a virtualized Ubuntu environment:
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