Quantitative strategies on High Frequency Data - course taught in the winter semester
Detailed assessment rules 2019/2020
In-sample data and presentation and report templates
Presentation resulting from the template: example 1, example 2, example 3, example 4
Document resulting from the report template
Lectures
Lecture 1. organizational, Introduction to quantitative trading
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
Getting Started with R Markdown
All chunk options (for advanced users)
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. Rolling analyses - efficiency matters
Lab 5. Cointegration, Granger causality (rolling analyses)
Lab 6. Constructing a strategy setup using different entry/exit techniques
Lab 7. Calculating positions and gross/net pnl
Lab 8. Evaluating performance of the strategy
Lab 9. Applying simple strategies
Lab 10. Applying more advanced (pair trading) strategies
Lab 11. Applying more advanced (pair trading) strategies - filtering
Lab 12. C++ in R - efficiency matters
Lab 13. 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
Geektrader A Systematic Trader's Blog
A physicist in Wall Street blog. For trading beginners
Quantum Financier blog. On engineering alpha and algorithmic trading
Adaptive Trader. A Simple Trader
CSS Analytics Blog - new concepts in quantitative research
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-bloggers - R news and tutorials
RCPP by Examples by Dirk Eddelbuettel
Financial Data Accessible from R
ProgrammingR - Beginner to advanced resources for the R programming language
