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

# 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. 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

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