Fall 2010

Class: 
    8-10am Every Monday Soda 405

Syllabus:

    pdf


Schedule:
    (Required homework directly below topic titles. Optional listed following a blank line)

  Intro
    Reminiscences of a Stock Operator Ch 1  
      http://www.trading-naked.com/library/jesse_livermore.pdf
    Grinold and Kahn Active Portfolio Management Ch 1
      http://up.m-e-c.biz/up/books/Richard%20Grinold%20-%20Active%20Portfolio%20Management.pdf

    NuclearPhynance.com, Quantnet.com/forum, Wilmott.com/index.cfm  
    thinkorswim demo account                   
      https://www.thinkorswim.com/tos/displayPage.tos?webpage=paperMoney
    Stock Market Wizards
      http://0301.netclime.net/1_5/023/028/0d2/eBook%20Trading%20Stock%20.pdf
    Market Wizards                   
      http://books.google.com/books?id=jNG7r-Ul7jwC&printsec=frontcover&source=gbs_atb#v=onepage&q&f=false


  History
    Leinweber History of Wall Street                  
      http://www.youtube.com/watch?v=HJqtqNl5G4E

    Wall St, Trading Places Movies                     
      http://www.youtube.com/watch?v=7upG01-XWbY, http://www.youtube.com/watch?v=_gekaEzqj5g


  Industry
    Set up meeting with trader/finance professional          

    Memiors of a Minyan                             
      http://www.minyanville.com/special-features/articles/Todd-Harrison-memoirs-of-a-minyan/6/23/2010/id/23134
    Wall Street Warriors                         
      http://www.hulu.com/wall-street-warriors
    Trading and Exchanges                         
      http://www-bcf.usc.edu/~lharris/Trading/Book/Book-extract.pdf


  Alpha
    Marco Dion                          
      Provided
    Thorp Beat the Market Ch 1-5, 9, 13              
      http://www.economics.uci.edu/kassouf/pdfs/beatthemarket.pdf

    Leinweber CHARISMA Sentiment Alpha                     
      Provided


  Simulation
    Simulate EMA on returns momentum/mean reversion signal      

    Algorithmic trading with Matlab Webinar by Aly Kassam         
      http://www.mathworks.com/company/events/webinars/wbnr30376.html?id=30376&p1=50647&p2=50649
    Paper trade via IB                             
      http://www.interactivebrokers.com/en/main.php


  Analysis
    Analyze EMA signal                          

    Grinold and Kahn Ch 12(info analysis) & 13(info horizon)         
      http://up.m-e-c.biz/up/books/Richard%20Grinold%20-%20Active%20Portfolio%20Management.pdf


  Optimization/Overfitting/Machine Learning
    Optimize EMA signal                          
    Cargo Cults                              
      http://www.sjsu.edu/faculty/watkins/cargocult.htm

    videolectures.net                             
    Elements of Statistical Learning                     
      http://www-stat.stanford.edu/~hastie/Papers/ESLII.pdf
    Caret, Statistical Learning Library
      http://caret.r-forge.r-project.org/Classification_and_Regression_Training.html


  Execution/Liquidity/Strategies
    Single Curve Collapse of Price Impact Function, Farmer p.1-2  
      http://arxiv.org/pdf/cond-mat/0207428v1

    Algo Trading Podcast                         
      http://www.algotradingpodcast.com/
    George Sofianos Goldman Sachs 'Street Smart' Newsletter         
      http://gset.gs.com/education/thought.asp
 
  
  Programming/Hardware
    Read IB and Lime API Docs (quiz Q's given in advance)       
      Provided

    Read Esper CEP Docs                             
      http://esper.codehaus.org/
    Caml Trading vimeo video by Yaron Minsky                 
      http://vimeo.com/14317442


  Risk
    Write script to optimize portfolio of 5 stock returns, compare in-sample to out of sample, and to uniform allocation

    Information Theory - Shannon, Kelly, David MacKay             
      Shannon: http://cm.bell-labs.com/cm/ms/what/shannonday/shannon1948.pdf
      Kelly: http://www.racing.saratoga.ny.us/kelly.pdf
      David MacKay: http://www.inference.phy.cam.ac.uk/itprnn/book.pdf
    Grinold and Kahn Ch 10 Intuitive Explanation of Correlation                 
      http://up.m-e-c.biz/up/books/Richard%20Grinold%20-%20Active%20Portfolio%20Management.pdf