Quantitative strategies on High Frequency Data - course taught in the winter semester


Lectures

Lecture 1. organizational, Introduction to quantitative trading


lecture 1


Lecture 2. High-frequency data definition, characteristics and sources


Lecture 3. Evolution of HFT


Lecture 4. Review of the statistical and econometric foundations of trading strategies


Lecture 5. Mean-reverting, momentum strategies and pair trading


Lecture 6. Building an automated strategy - study of entries and exits


Lecture 7. Calculating position and pnl


Lecture 8. Evaluating performance of high-frequency strategies


Lecture 9. Fishing for ideas and strategy backtesting


Lecture 10. Statistical arbitrage strategies


Lecture 11. Event arbitrage strategies


Lecture 12. Exam consultations

Lab sections

Lab 0. Introduction to Rmarkdown


Introduction to R Markdown - resulting file


R Markdown from RStudio

R Markdown - Quick tour

R Markdown - Cheat Sheet

R Markdown - Reference guide

Getting Started with R Markdown

All chunk options (for advanced users)

Wikipedia on Markdown

Writing your thesis with R Markdown



Lab 1. Dealing with time series data


xts: eXtensible Time Series. Using the xts package

xts Cheat Sheet: Time Series in R


Lab 2. Frequency conversion, data aggregation


Lab 3. Correlation, regression (rolling analyses)


Lab 4. Cointegration, Granger causality (rolling analyses)


Lab 5. Constructing a strategy setup using different entry/exit techniques


Lab 6. Calculating positions and gross/net pnl


Lab 7. Evaluating performance of the strategy


Lab 8. Applying simple strategies


Lab 9. Applying more advanced (pair trading) strategies


Lab 10. Applying more advanced (pair trading) strategies - filtering


Lab 11. C++ in R - efficiency matters


Lab 12. Students' presentations


Links

Finance in R

R in Finance - annual conference

The Whole Street - lots of quant finance blogs

MoneyScience - Financial Intelligence Network - financial blogs

The R Trader blog

QuantStrat TradeR blog

High Probability Trading blog

Geektrader A Systematic Trader's Blog

A physicist in Wall Street blog. For trading beginners

Quantum Financier blog. On engineering alpha and algorithmic trading

Math Trading Blog

Adaptive Trader. A Simple Trader

Timely Portfolio Blog

Au.Tra.Sy blog – Automated Trading System Systematic Trading research and development, with a flavour of Trend Following

CSS Analytics Blog - new concepts in quantitative research

rbresearch Blog - Quantitative research, trading strategy ideas, and backtesting for the FX and equity markets

Gekko Quant Blog – Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary Options

Dekalog Blog - talks about statistics for developing a trading strategy

Keplerian Finance Blog - exploring the boundaries of quantitative finance

Butler's Math Blog - Applying Mathematics and Physical Science Principles to Everyday Life

Timely Portfolio Blog - for those who want to do the math

R

The Comprehensive R Archive Network

R Studio

R-bloggers - R news and tutorials

RCPP by Examples by Dirk Eddelbuettel

Financial Data Accessible from R

Why R is hard to learn?

ProgrammingR - Beginner to advanced resources for the R programming language

Advanced R by Hadley Wickham

Statistics, R, Graphics and Fun