Algorithmic Trading & Quantitative Strategies

(3 Credits)

Development of a quantitative investment and trading framework: mechanics of trading in the financial markets, some typical trading strategies, modelDevelopment of a quantitative investment and trading framework: mechanics of trading in the financial markets, some typical trading strategies, modeling of high- frequency data; transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies; simulation techniques, back-testing strategies, and performance measurement. Use of advanced econometric tools and model risk mitigation techniques throughout the course.