High Frequency Data. Quantitative trading
Detailed assessment information
Complete data for assessment project
Lectures
Lecture 1. Organizational matters. Introduction to R
Lecture 2. Introduction to quantitative trading, evolution of HFT
Lecture 3. High-frequency data sources
Lecture 4. High-frequency data characteristics
Lecture 5. Review of the statistical and econometric foundations of trading strategies
Lecture 6. Evaluating performance of high-frequency strategies
Lecture 7. Fishing for ideas and strategy backtesting
Lecture 8. The study of entries
Lecture 9. Market microstructure: inventory models
Lecture 10. Mean-reverting, momentum strategies and pair trading
Lecture 11. Statistical arbitrage strategies
Lecture 12. Event arbitrage strategies
Lab sections
