Introduction to Quantitative Investment
This course introduces students to quantitative investment. A “quant” portfolio manager or a trader usually starts with an intuition or a vague trading idea. Using mathematics, s/he turns the intuition into a mathematical trading model for analysis, back testing and refinement. When the quantitative investment model proves to be likely profitable after passing rigorous statistical tests, the portfolio manager implements the model on a computer system for automatic execution. In short, quantitative investment is the process where ideas are turned into mathematical models and then coded into computer programs for systematic trading. It is a science where mathematics and computer science meet. In this course, students study investment strategies from the popular academic literature and learn the fundamental mathematics and IT aspects of this emerging field. After satisfactorily completing this course, the students will have an overview of the necessary quantitative, computing, and programming skills in quantitative investment.